It depends what I'm playing, games are pretty forgiving these days, I know I'll die but it probably won't set me back very much. If it's an old game then I know I'll probably die a lot but eventually through perseverance, I'll get better or get lucky and make progress slowly.
Sometimes I might use save states...yeah ok I know what you meant. I suppose I cope by mostly ignoring it. I know I will die, it scares me. It worries and upsets me that my death will severely impact and possibly ruin someone else's life. It's all very sad and mostly pointless to think about so if I find my mind wandering that way, I refuse to let it go any further. I just think about or do something else.
As I have gotten older it does occupy my thoughts more, and since I've not looked after my health very well for the past 6 years or so, death feels more likely to come than it used to. When I was 20, I was aware that I would die but it seemed like my body was nowhere near ready to go so it was easy to ignore and at that stage my entire lifespan could probably repeat twice and I'd still have time left. Now though, I have seen people go, some close, others not so close but people I knew, people fitter than me, younger than me dying so easily that these days I'm much more aware that death could be very close. Also for about the last 16 years I have had very regular sleep apnea and sleep paralysis and most nights (at least several a week and sometimes multiple times a night) I will become panicked as I realise I'm still asleep but not breathing, my heart races as I try to force myself awake, and try to manually start breathing. Plenty of times like this I've felt like time was running out and I've often thought that one night, I will fail to wake and resume breathing or my heart won't be able to take it. I assume that if this does happen then as my consciousness fades it might be frightening and painful but I think there's a chance it won't last long before I'm unaware and dead.
In all, I do worry about death more than I used to and worry about those I leave behind but I know worrying will do little good and possibly even bring it closer. So I try to just focus on the kind of life I want to have, not living each day like it's the last but just trying not to live in misery. I'd say it's had some positive effects.
While I haven't made serious attempts to improve my health yet, I have changed my outlook and they way I deal with and treat people, especially those close to me. I also have multiple lipomas and so I find myself more regularly checking that none have changed, worrying slightly that perhaps one of them isn't benign after all, this never used to consume my thoughts, when I was younger, I hoped medical advances might have beaten cancer by the time I needed it but now I take it more seriously and hopefully will notice any change early on. In general I take my life a little more seriously and less for granted than I once did. I think if I can improve my health then I'll worry even less frequently too.
So I suppose the way I cope with knowing that I'm going to die is to focus more on the fact that I'm currently alive and I'll deal with death when I'm dead.