Newbie help?

So, I'm a bit confused about pets. I just got the game like 10 minutes ago, and I came here to see if there was a way to keep your pet when you die. I see people talking about their pets and how they've levelled them up to 900 or whatever, but how do you keep it? Do I have to walk back to the start all the time? Someone please explain. Thanks in advance! :)