if you use the level 25(i think) prayer protect items it allows you to save and extra item when you die even if you are "skulled". Bieng skulled makes you lose all of your items when you die unless you use the prayer. not being skulled when you enter the wilderness allows you to keep 3 of yoyur most valuable items or 4 with the prayer on.
u cant control wat items u keep
If you die. a gravestone will protect your items for a certain time, some gravestones are 2minutes, others are 5minutes.
If your using the level 25 prayer, You'll keep 4 of your most valuable items in your inventory. (value depends on high alchemy price or market price; i forget which)