Death stalks the edges of every battle. A character who is reduced to 0 HP immediately makes a Last Breath move. No living creature knows what lies beyond the Black Gates but capricious Death has sole dominion there. But even dead characters can rise again under certain circumstances.
If your character dies you can ask the GM and the other players to try and ressurect you. The GM will then provide the living ressurections with the opportunity to figure out how to return your poor dead character to life- and the cost. This might be via the Resurrection Spell or some other means that is woven into the fiction as a plot element.
In classic Dungeon World, even with resurrection as a possible future event, you will need to make a new character. It might be a hireling who is already part of the party who is removed from GM control and sheeted as an appropriate class. Or it might be someone who joins the party for whatever reason suits the fiction when the adventurers reach a steading.
Just Remember: Death never forgets a soul stolen from his realm.
Campaigning Beyond the Black Gates
GMs can always explore the option of letting the adventurers leave the physical realm and continue their adventures in the deathlands themselves, possibly as compendium classes . The Lands of the Dead is a free sourcebook that can be a great inspiration for such a campaign.