You lose your domain name by not paying for it. You have to pay a yearly fee for domain name registration. It is possible to pay for several years up front. You can renew your domain name at any given time which will prolong your domain's expiration.

Keep in mind that your domain name has an expiration date and therefore you need to pay for the domain name regularly. If you let your domain name expire without paying for it ahead of time and extending its expiration (ie domain renewal) then you risk losing your domain name. In many cases the domain name becomes available and anyone is free to register the domain. If someone else registers the domain name you failed to renew then it's very hard to get that domain name back. Basically they have to fail renewal of the domain name or you have to purchase the domain at their asking price.

Usually you will get a warning from your domain registrar that your domain name is about to expire. Be sure to have your domain name contact info up to date so you can get these domain expiring reminders!