The Maiden works like how losing and regaining your souls work in Demon's Souls.
You spawn in body form the first time playing as Maiden. When you die an instance of your body appears at the location where you were killed and you go into soul form. You'll continue to spawn in soul form until you pick your body up after which you transform back. You can also retrieve your body as another class if you switch to something else. If you're unable to retrieve your body, say for example it's located deep in enemy territory, the only other way to get your body back is to quit the server and re-join.