I guess it depends on how useful they are to the gods themselves, kharn died but he was too much of a devotee to khorne that he rose again to continue butchering... Eliphas was killed and sent to the "Basilica of Pain" then came back and was obliterated and then came back again.. If you are useful and devoted enough to the chaos gods then your soul will be recycled as long as you remain as such or you are disregarded as useless and your soul is consumed by the gods..

 

Well, the souls of falled chaos warriors (not just marines) are taken by the god which most favours them and added to the power of the god. Godless ones are doomed to wander the warp for eternity, usually in the shape of furies.

As for loyalists...I believe they would go towards the power of the emperor, but thats not really my area of knowledge.

 

As Karak said, the lore states that the souls of Chaos worshippers are absorbed by their patron(s) following death, increasing their power.

 

It really doesn't sound like there's a downside to joining Chaos. I know they refer to it as damnation but joining Chaos seems very beneficial but they make it sound like if you side with Chaos you're f*cked.

 

I have overcome this by adding certain fluff to my Chaos Space Marines Legion "The Sons of Achaylus" and that is Chirurgeons recover the Progenoid Organ (Sorry for the mis-spell) anyway, nothing goes to waste, the bodies of the dead are sacrificed and that scavenger companies recover all weapons, armour and other equipment to be reused.