Dunfiddlin is quite correct that you can add multiple events to the Handles clause of a single method. They don't necessarily even have to be the same event, as long as the signatures are compatible. You can add those events manually if you want, but that's likely to be a bit tedious if you have a large number of controls, so you might want to use the designer instead. In that case, select all the relevant controls in the designer using Shift+Click+Drag or Ctrl+Click, open the Properties window, click the Events button and then double-click the appropriate event. You can also use the drop-down list for an event to select an existing event handler for one or more selected controls.
That might still be a bit tedious if you have a very large number of controls, in which case you might want to leave attaching the event handlers until run time. In that case you might like to check this out:
Visit Every Control on a Form (includes nested controls, no recursion)
You can use that to visit every control and use AddHandler each time to add the event handler. Don't forget to do the same when closing the form and use RemoveHandler to remove the event handler.
Also, as the documentation clearly states, you almost certainly should not be handling the GotFocus and LostFocus events, but rather the Enter and Leave events.