They didn't die. Only their body died. John 11:26. The soul of a Christian is infused with God's own life, when he or she trusts in Christ. The Christian soul is made immortal by the life and power of God, and as a result the Christian soul never experiences death.
The Lord takes them instantly to Heaven. They don't go to sleep, or purgatory, or limbo. We read this in 2 Corinthians 5:
For we know that if the tent that is our earthly home is destroyed, we have a building from God, a house not made with hands, eternal in the heavens. 2 For in this tent we groan, longing to put on our heavenly dwelling, 3 if indeed by putting it on[a] we may not be found naked. 4 For while we are still in this tent, we groan, being burdened—not that we would be unclothed, but that we would be further clothed, so that what is mortal may be swallowed up by life. 5 He who has prepared us for this very thing is God, who has given us the Spirit as a guarantee. 6 So we are always of good courage. We know that while we are at home in the body we are away from the Lord, 7 for we walk by faith, not by sight. 8 Yes, we are of good courage, and we would rather be away from the body and at home with the Lord.
In other words, no one in Heaven is sad that they left us. Christ brought them safely home! They're joyful, and all they need to do is wait for us to catch up and join them.
God doesn't take the passing of any of His children lightly. Psalm 116:15: Precious in the sight of the Lord is the death of his saints. Christ knows what it felt like to die. He doesn't treat us like a gruff drill-sergeant.
Christ's resurrection is our assurance of our Christian loved one's survival and glory: 1 Corinthians 15 -- 20 But in fact Christ has been raised from the dead, the first-fruits of those who have fallen asleep. 21 For as by a man came death, by a man has come also the resurrection of the dead. 22 For as in Adam all die, so also in Christ shall all be made alive.
We grieve for any suffering they experienced in life, or suffering in the process of leaving us; but the Lord also assures us that all that suffering is swallowed up in the wink of an eye, as soon as they enter glory.
Romans 8:18 -- I consider that our present sufferings are not worth comparing with the glory that will be revealed in us.
No one in Heaven is sad, or brooding over the memory of sufferings of their earthly life. There, every tear is wiped from every eye. All memory of mortal suffering disappears, like one little drop of iodine disintegrates when dripped into the Pacific Ocean. Our short time of pain is engulfed by an eternity of future happiness.
So, we do not grieve in the same way that unbelievers grieve, that is, in despair and without hope. Christ's birth brought Him into this dying world, Good Friday took Him out, Easter brought Him back immortal, and that's how He gave us all hope.