Do I need to insert an HTML tag with jQuery to encapsulate the code below?

I believe this can solve:

var pegatudo = $("<div/>",{id:"pegatudo"});

pegatudo.append('<div class="Ftitulo">'+item.titulo+'</div>');
pegatudo.append('<div class="Fdescricao">'+item.descricao+'</div>');
pegatudo.append('<a href="' +item.arquivo+ '" class="Farquivo"></a>');

$("#main_div").append(pegatudo);

The simplest way to do it would be:

$("#main_div").append(
  '<div id="pegatudo">' +
    '<div class="Ftitulo">'+item.titulo+'</div>' + 
    '<div class="Fdescricao">'+item.descricao+'</div>' +
    '<a href="' +item.arquivo+ '" class="Farquivo"></a>' +
  '</div>'
);

Remember that when using .append , it will add the content (at the end) to a div with main_div ID, already existing on the page, keeping all the current contents of it.

To replace the content of it, for the new content use: $("#main_div").html('conteudo');

I do not know if I understood your right question, but would not that be?

var s;
$.each(...) {
     s = s + montarDiv();
});
$("#main_div").append('<div id="pegatudo">' + s + '</div>');


function montarDiv(){
    var texto;
    texto ='<div class="Ftitulo">'+item.titulo+'</div>';
    texto = texto + '<div class="Fdescricao">'+item.descricao+'</div>';
    texto = texto + '<a href="' +item.arquivo+ '" class="Farquivo"></a>';
    return texto;
}

I believe this will solve.