Rebuild entire Robot again if I die

The only way to store pixels (as of yet) is via the Pixel Compressor.

Pixel Compressor is a crafting station used to turn pixels into tradeable/storable items called voxels. Decompressing these voxels will yield the equivalent amount of pixels back, it provides a way to trade pixels to others as well as protect pixel loss from death.

This crafting station is crafted at the Architect's Table (third tier Inventor's Table), and requires

• 15 x Gold Bars
• 15 x Durasteel Bars

You can only compress 1000, 2000, 5000 and 10000 pixels. To decompress them, simple use the decompress table (which acts much like the sell window on a merchant).

When you have built the full Inactive Robot, you can place it on the surface of a planet and activate it to fight a boss enemy. On being defeated, that boss will drop a Processor item, needed to make a more advanced crafting table, which itself is then used to create a better star map, and proceed to the next sector.

In short, yes, you will eventually need to make the robot to keep advancing. But, you may not want to make it too immediate a priority, as the boss may be difficult to defeat if you've only just unlocked the Metalwork Station.