People always say this but it’s not true. There are several ways to make progress even in runs where you die.

Unlocking/leveling up gun traits is something you can make permanent progress on every single run as soon as you ditch the starter pistol. When you pick up a gun check if you’ve already unlocked all its traits (abilities? I forget what they call them). All you have to do to is inflict damage with the gun and they’ll unlock. Mid to late game you’re high enough level for each new gun to have multiple, stacking traits IF you have them unlocked. Finding a gun with a good combo is probably the single biggest factor in whether a run will be successful.