So, thanks to the very helpful advice and tutorial, I built a rocket, oxygen stuff, and a whole pile of other resources. Launched, selected the moon, and looked away. Looked back and there was a giant red warning flashing that I was about to crash, and then I did...
Now, I am in an infinite cycle of death. I cannot run quickly enough to my crash site to pick up my precious, precious resources and oxygen before dying, and respawning on the moon, too far away to do anything useful.
Do I have to start a new game?