Palolwen
Yes, its not possible to create a location at a unit when it dies however if you have the location following it, it will stop when it is dead. (Unless you reactivate it by bringing another unit to its original trigger execution area)
Just to clear things up if you don't know how to make a location follow another unit... this is how u do it...
Example...
"For which players will this trigger execute?
-<Player 1>
Conditions
-<Current player> brings <exactly> <1> <warrior> to '<Anywhere>'.
Actions
-Center location labeled '<P1 Range2>' on <Warrior> owned by <current player> at '<Anywhere>'.
-Preserve Trigger."
Make sure you preserve that trigger or it will not always follow the unit...