During episode 48 "From Here to Eternity/When You Wish Upon a Falling Star" 009 and 002 are falling back to Earth together with 002 out of energy and ready to die. 003 cries out for Joe and we then see a woman and a child making wishes on the falling star that is implied to be 009 and 002 as they reenter the Earth's atmosphere.
It's been said several times that 009 is more durable than the others and I'd assume that since he had to be designed in such a way that he could withstand the extreme friction and heat generated when he's using his powers, as mentioned in episode 33 "Frozen Time", he would be able to at least survive reentry. 002 also has acceleration powers so he would likely have to be designed with similar resistance to friction and heat. If they could survive entering the atmosphere once they got close enough 001 should have been able to teleport them to safety. There are dozens of ways they could have survived but 003's reaction at the end makes it seem like they died.
So, did 009 and 002 die in that episode or not?