I'm afraid I can't guarantee any continuity in between Alpha versions. Too many things are added or changed. I may entirely change quests you are in the middle of finishing. Remember, this is alpha testing, not production.
Likely, you won't lose your characters when you start playing 0.4, but honestly, guarantying compatibility between versions is a big effort, and I'd rather invest that time into adding more features and content. So yes, there's a chance your game doesn't load correctly and you have to start over.
On the other hand, from Beta and onwards, I'll make sure all saved games are 100% compatible.