This essay makes the argument that in order to live well one has to let death permeate one's life and, further, that one's approach to one's death and finitude can be part of a project of self-creation. The essay proceeds in several stages. First, Giovanni Pico della Mirandola's Oratio de hominis dignitate, in which he talks of man's 'unfinishedness' as a mark of his privileged ontological status, is introduced and read as a foundational text of modernity. Then, the broader notion of 'self-fashioning', as a characteristically modern act, is discussed is some detail (with references to Giambattista Vico, Friedrich Nietzsche, Giuseppe Mazzotta and Stephen Greenblatt). This, in turn, creates the framework for a detailed examination of Montaigne's Essays, which is considered from two distinct angles: (a) as a preeminently performative text, the writing of which generates a process of self-creation in its author; and (b) as a text that makes the 'domestication' of death an imperative for the good life. At different points in the article, Luiz Costa-Lima's work (in particular The Limits of Voice and Control of the Imaginary) serves as a repertoire of theoretical solutions and source of interpretative keys.