To change into a monster hail a Shroud Keeper in PoK. The monsters you can change into are called shrouds. There are several "lines" of shrouds, like undeads or elementals.
You start out with one monster available in each line and you unlock the next monster in the line by gaining shroud xp, which you earn while fighting as a shroud. You can check your progress in each line on a tab on your inventory screen. Once you reach 100% in one shroud the next shroud in the line is unlocked and you begin again at 0% for the following monster. While shroud xp is generally much slower than normal xp, the first 1% takes ages to earn so keep that in mind when you've killed 100 mobs and seem stuck at 0%.
Any xp earned while you are shrouded is transferred to your character when you unshroud, but the xp is the actual amount earned as the shroud instead of a percentage as we usually think of xp. So, if you fight as a level 1 shroud then level 1 xp transfers to you, which will probably not move your character's main xp bar at all.
I think you do lose xp if you die, but like earned xp I think you lose the amount of xp appropriate for the level of the shroud, not your main character. So dying a lot as a level 1 shroud will probably not hurt your main character.