I'd like to second what Sir Zane said, especially about the liquid time factor. The site does run on multiple times, not multiple timestreams mind you, like an alternative timeline for your character, but different things happen at different times for any character in the game world. Of course, if it's easier for you to play one thread per character at a time, that's fine too! And if you wanna kill 'em off? Go for it, but it doesn't have to be the end.
For instance, you can do threads before their inevitable death, one that takes place earlier in their timeline. Or you can even plan to resurrect them somehow either through magic, someone else's character who you thread with, a magical object, certain event triggering or anything else you can think up. Perhaps your character runs into a cleric later on who brings them back to life. Of course, whether it works or not is totally up to you and what you want to happen for the character.
I totally get the whole drama and trauma of death in stories, as it does add more interesting weight to a situation. I have a character named Stardust, who used to be a saintly unicorn before she was tortured and killed, and therefore corrupted into another form. Her story is planned out so she will eventually be restored to the light again but it will take some time (and many threads in between!) I am first doing a flashback thread with someone to RP that first incident for her. But it is far from being the end, only the beginning really.
Another of my characters Vanesse, who is a Valkyrie, one of her jobs is to take back fallen worthy souls back to her hidden island home and, once there she releases their spirit and they become as though 'alive' again, but not exactly. They take on solid form but cannot leave the island after that. From there she and the other Valkyries train them in many battle tactics, both new and old ones. So if you ever want to kill off a warrior character of yours, let me know and I can toss Vanesse his/her way and their story can continue, just in a different way than normal.
Another idea is you can roleplay them in the afterlife whether as a ghost, a possessed object their spirit is trapped in or in a completely new place. Maybe from time to time they visit their loved ones on Earth, to say a final goodbye and/or simply to check on them every now and then. It's a interesting idea and one well worth planning out.
But whatever you do, make sure to justify it and have fun! The rules are easily bendable, provided it does not break canon. And welcome to the site! ;)