Yes, unfortunately there is nothing you can do once you die except to load from your last save.
The problem i have myself is i either don't save often enough, or sometimes i even save too often and save after I've done something that i want to go back and do differently! So i would recommend saving from time to time and maybe alternating or making new saves as you go. Then once you get far enough you can delete some of the old saves.
The problem i had was i don't like having multiple saves so i just use one main save and have a few key moment saves that are too spread out.
