You go to your gravestone and hit the letter "E" if on pc. At that point you get all your stuff. If you die on the way, you make a new stone but your old stone still has your stuff and you need to find it.

Luckily there is a time period where you can't lose your skills from dying a 2nd, 3rd, or in the case of my friend 30+

Anything else is a bug and should be treated as such.