The HP decrease upon death is a holdover from Demon's Souls. I'm happy it returned, personally, since it really teaches you not to take risks. If you're worried, you can get a Ring of Binding which stops your HP from decreasing below 75%, which should be enough for most things in a normal game, really. I don't remember where I got it, but it was pretty early on.
My problem with it is when I am ready to try the boss, if it takes me a lot of attempts to kill him, it gets harder and harder with each death. Im not really taking dumb risks, im having an attempt on a boss maybe trying different tactics in order to learn what works. Also part of the problem is that im no pro at DS :) and i dont use guides as I think that spoils the essence of the game.
I got to my first boss yesterday the Last Giant, Ive had about 10 attempts and come close but havent killed him yet. Keep getting stepped on! He does seem an easy boss, i just keep making 1 mistake and thats usually enough to kill me.
Having said the above i did get the white co-op stone and I think that is the answer. I put my sign down as a hollow (with 50% health cap) and helped out a couple of players to clear the level. Its a good way of sharpening the skills and at the end when i was sent back I was a human again with some nice souls gained. So if my repeated failures at killing the boss knock my health down too much, i'll do some jolly cooperation to become human without needing loads of effigies.
I've always played offline before as i despise pvp, but i found the co-op really fun, so i would recommend it to anyone having trouble like me.