Just make a copy of the relevant savegame folder (highlight it in whatever file manager your particular OS uses, within the master Saves directory, ctrl-C, then ctrl-V), when the game is not active, load up the version without any "Copy of" start (and/or "(2)" ending and/or the actual local duplicating-a-file thing) to play for a bit longer before either deleting the first copy, archiving it away somewhere else or getting "Copy (2) of..."-type more recent copy.
When you feel you've legitimately earned the right to undo things (e.g. a stupid death that wasn't your fault, or having spent ages travelling half a world map in the wrong direction), and knowing that this would also undo your hard-earned sneak-grinding skills or acquisition of the most perfect bit of armour (so it's all swings and roundabouts, and even less cheaty), go back in to the Saves bit, delete/rename-for-still-possible-posterity the newest and uncopied savedir, copy whatever the 'recovery' directory is, rename that (probably something like "Copy of Copy of...") to the non-copy name and start the whole thing up again.
Easier to do than to describe. Useful for all kinds of things (digging up Legends info, exploring a Fortress site as an Adventurer, reviewing an Adventurer's location through the Fortress gameplay, trying out various different combat techniques against the same opponent at the same starting degree of health/alertness, general !!SCIENCE!!).
DFHack's "die" (or process-killing at the OS level) always seems to be tempting the creation of various system problems/complaints/corruptions (even though they should not!), but clean saving/exiting, savegame folder shuffling then restart/opening again is a little bit awkward (serves one right for 'cheating'!) but is a perfectly allowable thing to do.
(Seriously, it would be trivial to set up a Journaling mechanism to identify duplicated and reverted games, plus premature process stoppages clearly intended to either get around the first level of abstraction or indicative of faults that need urgent reporting, and thus savescum-protect things to a degree where a non-trivial level of hackerage is needed. But Toady allows us to reconfigure so many things, and whilsoever it is still the single-player game that it is likely to remain for way beyond the foreseeable future, "losing is fun" combines with the mantra of "you're only cheating yourself" if you go beyond your own sense of gameplay morality. Don't worry about it. Feel free to turn off Invasions whilst learning how to start a Fortress, with the config option supplied, or mess with other things to make it that bit more forgiving to you... There's no reason not to, if you want to, even if I tend not to myself.)