When it comes to deities, I've always left a veil of mystery on them, so that nobody can tell for sure where a deity ends and the next begins, and this plays to my advantage when merging multiple settings. It means that if you move from Toril to another world with different deities, I don't have to cut a Cleric off her powers: maybe her deity is also another deity in the other universe.
For afterlives, at first it seemed a problem but eventually there isn't any. I can keep them mostly separate so that Faerunians go to their patron deity's domain and mortals from other worlds under the Great Wheel go to their alignment-based destination. There is no issue really.
One interesting question is how to treat an afterlife plane that exists with some differences in multiple cosmologies, for example Hell. Are there multiple Hells or is it the same one?
The bottom line is that all these questions are pointless until they are relevant for an adventure, and even then you do not need to set anything in stone.
I don't use the Great Wheel, as I feel that has been done, and done better in DC comics than DnD ever has, or ever will do. The details are well fleshed out and the idea well thought out.
So deities can die, and they too enter an afterlife same as anyone else. Plus if players at epic level are challenging multiverse deities, then the gods cannot be very powerful. Multiverse Darkseid (DC) he was the size of a universe when he fell. Makes DnD deities a rather poor relation.
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Each plane having a separate afterlife, then there would be multiple hells, depending upon the cosmology. Some may not have a conventional (burning type hell at all). Theros afterlife for example is super grim. And this is why I did it this way to create an atmosphere for players so that sometimes fleeing a confrontation is better than standing their ground. The afterlife there is bloody awful and you simply do not want to die on that plane.
And it makes it easier to have higher powers, above all the deities, that essentially work by different rules, and make all the planar powers look weak in comparison. But I wanted a Moorcock type feel.
EDIT: Another bonus to doing this, is that it allows me to use each of the DnD plane books, Manual of the Planes, Planar Handbook, Beyond Countless Doorways, Dark Roads and Golden Hells etc. - all together and at the same time. Each one applies to a particular plane.
Now in DC it is just one heaven, one hell. Everyone goes to one or the other.
But with things like this...YMMV I guess.