$transaction = App::getModel('mygateway/transaction');
$transaction->setOrderId($order_id);
$transaction->setTransactionId($transaction_id);

Mage::log('saving', null, 'mygateway.log', true);
$transaction->save();
Mage::log('saved', null, 'mygateway.log', true);

$transaction = App::getModel('mygateway/transaction');
$transaction->setOrderId($order_id);
$transaction->setTransactionId($transaction_id);
try{
   $transaction->save();
}
catch(Exception $error){
   Mage::log($error->getMessage(), null, 'yourlogfile.log');
}