The rule will be that you may have up to 3 characters at any one given time. So if one dies, you may create another if you should so desire. I would ask that you make each of your characters have their own separate character sheet, however-- one thing you could do is make a character sheet for one and let the other two be NPCs. When the one you're focusing on dies, you can create a character sheet for another. Only the characters with their own completed character sheet will be experiencing these so called "whispers in the night".

If you're more worried about having to take the time to fill out 3 character sheets rather than having other slots for other characters, that won't be much of a problem. The character sheet skeleton I'm working on right now is very simple and shouldn't take much time to fill out.