Although the health bar of the main character in the inFamous: Second Son is never shown on the screen, the game still informs you if it reaches critical levels. After Delsin has suffered enough injuries, an appropriate information will be shown on the screen and you should consider retreating. Suffering critical injuries will make the screen to fade and it's the last warming and information that you should run. I would recommend hiding behind large, indestructible obstacles (excluding cars, of course), or on rooftops, which will additionally allow you to replenish your smoke reserves.
If you were unable to get away and Delsin died, you will be resurrected at the last control point - they are densely distributed around the map, so generally you won't waste a lot of time getting back to the place where you have died. Manual saves should be done frequently - they won't give Delsin any additional protection, but they can be crucial in the case of a wrong karma decision.
The last things worth mentioning is the difficulty level. I would recommend playing the game for the first time on the normal difficulty level, even though some parts may seem too simple. However, it will allow you to seamlessly familiarize yourself with the crucial elements of the game. You should take the game on the highest difficulty level only on your second playthrough, when you are doing the "second karma path" - the game, while playing on the hardest possible difficulty, is A LOT harder and more challenging, rewarding vast knowledge of Delsin's abilities and the ability to move around the city smoothly.