I don't know how some authors do it.
At some point in all the most popular fantasy narratives, one of the characters that the audience has grown to (or grows to) love has died: Boromir in Lord of the Rings, Dumbledore, Snape, the one Weasley twin, etc., in Harry Potter, everyone in Game of Thrones. At some point, the author had to stop and say to themselves, "Well, this is it. This is the last time that I'm ever going to see this character operate under their own volition. We might hear about them again through passing, or discover some of their unmentioned deeds, but they will never have a meaningful, growing relationship from this point on."
It's got to be a painful experience. The characters we create are kind of like our children, in some regards... little brain babies left to their own devices, going out into the world. If you've ever lost a loved one, you know that the most horrifying result is the knowledge that you'll never be able to hear their voice again. When my father passed away, it didn't really hit me until a few months later. Sure, I was emotionally damaged because I had lost my dad, but the reality of the situtation wasn't clear. I had a house repair to make, and I remember getting my phone and scrolling through the contacts, intentionally landing it on his name. And then I realized that if I had called, he wouldn't have answered.
These characters are gone, even if they're not forgotten. Unless you've got some clever way to bring someone back from the dead, the only time you're going to experience their personality is in flashbacks or prequels. It has got to be a tough call to make, even if you've been preparing yourself for it for ages.
George Martin is a mass murderer, yet I refuse to believe that when *SPOILERS* Ned Stark made his unfortunate exit at the end of his first book in the Game of Thrones series, he wasn't a little dissapoitned that it was the true experience he would ever develop with that character *END SPOILERS*.
I can't imagine how J. K. Rowling felt at the end of the Harry Potter series. In one way, it's difficult to leave one character so that your story can proceed. It must be a completely liberating yet tragic feeling to come to terms with the finality of an entire world you've created. I'm dreading the final moments of this trilogy, because I know that it will probably be one or two years before I ever "see" many of the characters again. If I ever determined that I was done with the Tellest universe, it would have to be because I knew I was dying, and I had given it the logical, fair closing point it deserved to have. And even then, I'm sure I'd be more miserable about the fact that it was the last time I would ever venture into my little made up world than I was to be leaving this one.
The beginning of the final episode of "season three" of Tellest is wrapping up. I'm nearing a moment of respite for some characters, and I'm bowing my head one last time for others. While it's a great feeling to know you've finished a mental task such as this, it's almost depressing at the same time. While the words themselves may be immortal, the lives of the characters, in some ways, are not.
The long goodbye is cruel and cold.
13th Hour Edit: I, of course, should mention that one way around the death of certain characters is redacting that with later storyline. Gandalf the Grey became Gandalf the White. All of R. A. Salvatore's characters have been snatched from the jaws of death at some point. Even Martin lets some of his characters live after the reader believes they have shed their mortal coil.