So I just got the game and want a challenge so i'm thinking of going Death March but i'm not sure exactly how hard it is. If its any help I went through Bloodborne decently beating most bosses 4 tries and under.

I personally would go for Story and Sword, but for dark souls/bloodborne players: Blood and Broken or Death march. You can change difficulty at anytime in gameplay option.

Even on easy difficulty i died a few times so i am thinking that death march is going to be absolutely brutal, good luck to you.

You can go on death march i am not a fantastic player but i managed to finish the game and DLC in this mode ;).
However, the beginning is difficult and there was a certain fight i couldn't prevent from dying during three hours.

Played the game on hardest difficulty for 10-15 hours, then I drop down to normal. It isn't that hard, it just annoying maintaining your health bar (no passive health regeneration without items above normal difficulty).

You should play on highest difficulty if you want a platinum trophy or 100%. But if not, then I recommend to start on normal difficulty and get used to the game mechanics at first. Then you can switch the difficulty at any time. The game itself isn't hard, but the beginning can seem a bit difficult.

I finished it on normal and it was pretty normal.
So death march would be appropriate for you if you like a challenge.

Go highest difficulty or go home!

I played the game in the hardest difficulty and it wasn't that hard. After a couple of hours, you'll get the hang of it. Btw, there's a trophy/achievement related to trophy difficulty (Complete the game in the highest difficulty).

I would start on normal for a proper experience. If the plat is not an issue, bump up the difficulty if it gets too easy.