The Pyromancer outfit is an experience-boosting set that grants bonus Firemaking experience when worn. It provides a small boost to experience received when training firemaking - a total of 2.5% when the full set is equipped.
The warm gloves are also part of the outfit, but do not count towards the set bonus, as its purpose is solely to match the rest of the outfit.
This clothing is not immediately lost upon death, as it can be retrieved off of the ground if you were to lose any of the pieces. This applies unless it is lost in deep wilderness or another irretrievable location.