It would be a good idea to save periodically (before or after quests, before an expected battle, after finding good equipment, etc). I made named saves (if I had not otherwise saved in awhile) before taking stairs into new areas or entering new building, etc, and made periodic quicksaves while exploring or clearing a region.
With the latest game version, there are 2 quicksave slots by default, and you can increase that number. Check the version number shown in the bottom right corner of the main menu (latest is 1.0034A), and install the
patch if required (the DVD release is already updated, as are most re-release CD versions).
Even without dying occasionally, I reloaded to try solving quests different ways, etc.
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