So you died? Bummer, guess that's it then, showtime's over...
Ugh, no, not so fast. You may have died, but you can come back for the next Scenario. When your dead, you're dead. You can't play until the next Scenario for your group starts. You still get Exp, but it's split in half.
So don't worry about dying, but you should be aiming for living through the entire Scenario anyway!
In the Shop, you can actually buy a St. Gerald Doll. Although expensive, I will explain their use here. For you see. St. Gerald Dolls are used to bypass death in a way. Upon Death, you may PM me and say that you're using it. With this used, when the next stage of the Scenario starts, you're alive and well but will no longer have your items from before.
If it's the final stage of a Scenario, you may use your St. Gerald Doll to get your well-earned Exp instead of having it halved.