Dynamic SQL is certainly the easiest way to do this. The alternative is parameterized SQL, but that would require having your users define and set parameters separately from the T-SQL.
You can simply submit the T-SQL string to SQL Server using the SqlCommand object; there's no real benefit to wrapping it in an EXEC or anything, as in the link you provided. You can do exception handling on the .NET side.
Also, if you want to support command batches, keep in mind that SqlClient and friends don't understand "GO", which also isn't an actual T-SQL command -- you will need to parse the input and break it into batches yourself.
I'm sure you understand that there is a big security risk in doing this, and that's it's generally not recommended. You might consider using a connection string that specifies a user with limited permissions, to help control / limit their access.