You would throw me when you need me most
You are certain to recover me when you don't
I usually point to a direction, yet I am not an arrow
I am not a road sign, and you wouldn't like to follow.
What am I?
You're a
Ship's anchor
You would throw me when you need me most
When you need to anchor a ship is when you drop the anchor
You are certain to recover me when you don't
And when the ship is to set sail, you don't need the ship to be anchored any more, so you recover (pull up) the anchor
I usually point to a direction, yet I am not an arrow
Anchors are pointed at the end, they resemble but are not an arrow
I am not a road sign, and you wouldn't like to follow.
You wouldn't want to follow an anchor down to the depths!
Title: If you follow me, you might end up dead
Yep, dead by drowning. Sleep with the fishes.
I would say
distress rocket
You would throw me when you need me most => of course, you throw a distress rocket when you are in distress
You are certain to recover me when you don't => You can see the distress rocket in the sky way better when you are far from the launch point and not just behind, i.e. when you are rescued
I usually point to a direction, yet I am not an arrow => Distress rocket point where you are
I am not a road sign, and you wouldn't like to follow. => Why would you want to follow something that is up in the sky?