Hi Atul,
I have coded in the method CHECK_BEFORE_SAVE itself.
Below is my code for message and exception:
clear lr_msg_srv.
lr_msg_srv = cl_bsp_wd_message_service=>get_instance( ).
lr_msg_srv->ADD_MESSAGE( IV_MSG_TYPE = 'E'
IV_MSG_ID = 'ZMANDATORY'
IV_MSG_NUMBER = '000'
IV_MSG_V1 = 'Error msg' ).
cv_own_message = sy-abcde+23(1).
RAISE DO_NOT_SAVE.