It's feasible, but it really depends on how good you are. You have to already have an idea of what your equipment will and won't do. You have to train yourself to run when you'd otherwise try to get in another hit. You have to make sure that your stomach is never empty. It's not a good time to experiment with new things. Never take trees, campfire smoke, or fall damage while building for granted.

Pretty much only do it if you don't mind starting over a lot, or if you've played awhile and almost never die anyway. It could be something to do if you just love the game and want something to spice it up while waiting for Mistlands.

I was doing permadeath for awhile, but then decided to stop so that I could explore the new frost caves without worrying. I got as far as defeating Bonemass. You could do an alternative ruleset with one extra life per unique boss defeated, that way you have a little bit of leeway.