There used to be only one death marker. That is no longer the case. Marking the spot manually is still a good idea though because if you happen to click the skull on the right side of the map those will all disappear.

So anyway, you have to go back to where you die and click your tombstone. It's better to do this with nothing in your inventory, as in naked sneak and dash, after eating whatever you had back home, because then you will pick it all up in one click. If you are wearing new equipment or have picked up loot along the way you might have to mess around with an inventory screen in the middle of a dangerous area.