If you do get killed during your visit to Continents your corpse will drop where ever you are and you will be transported to the nearest safe room. You will then need to either go retrieve your equipment and inventory yourself, find someone to assist you, or re-equip again without the things you had gathered to that point.
There are some things at Continents that are level based that you should be aware of: Up to level 3, mobs that you run away from won't chase you, from level 4 on though if you run away they will chase you down and attack you. Recall to a safe room is free up to level 4, from level 5 on you will need a recall spell, potion, wand, scroll, or etc. to be able to recall.
Recall on Continents is zone based, so recalling is not always the best way to get yourself out of trouble, although recall does always take you to a safe room the surrounding area might not be safe for you. To determine where you will land when you recall use the "zone" command.