Best avoid it. It's pretty much never a good idea. If you're looking at a very inconvenient TPK (like start of the game and nobody has new characters prepared), remember that the baddies can always just non-lethal damage the players, knock em out, and take em back to the hideout/slavemine/sacrificial chamber. Conversely, if the players are destroying your Big Boss, just let it happen. It's memorable, they'll enjoy. At times lack that you've just got relax and enjoy the ride, and remember you cooperate with the players, you're not their opponent in a board game.