When we say we live for Christ, we are living in His Name. He will be our source of joy and our reason to live. And, when we say to die is gain, it is even better because we will be with Him in eternity. We will gain even more because of eternity.
To die is gain means the gain of the glory of eternity. There would be an advantage in dying above that of living. Don't fear death. Be ready and excited to face Him 'coz you will be with Him for eternity.