What do I do if the piercing is infected and how will I know that it is infected?

Contact you piercer as soon as you can. Do not put off getting the infection taken care of because it can only get worst and maybe Spread and turn systematic. Yes you can die from a piercing that is infected if it is not taken care of and the bacteria enters your blood stream and spreads. When in doubt contact your doctor. I have over 8 years of experience solving problems with piercings but if it's beyond my help. I'll be the first one to tell you to seek professional medical help.
Do not remove the jewelry. In a healing piercing the jewelry is the only thing keeping the wound open. If you remove the jewelry the wound will close and possibly trap the infection and fluids inside you body. This can create a abscess or cyst that will require lancing. Leaving the jewelry in will allow a drainage pint for the infection and in most cases make it more treatable.
Signs of infection are: Redness, discoloration, swelling, heat/fever, on or around the piercings, pain the is throbbing and/or shooting/travels, pus and/or discharge that is unnatural in color like grayish. yellowish and/or greenish.