Ok so I got the space car and was driving it and got cops. Then when they killed me I lost the space car. Is it gone forever or how can I get it back or get a new one?
Usually unique vehicles will end up at the Impound Lot if they're lost or stolen. The Impound Lot is on the east side of Los Santos, and its icon is a picture of a car. It's a bit north of Franklin's garage, if you're playing as him. The Impound Lot only stores the last two vehicles, though, so you should probably hurry if you think it might be there.
If it's not there, you can also check the special vehicles section of Franklin's Garage, (Right on the D-Pad when you're inside) as I've read that some people had luck finding it there after losing it.
However, I've also read several reports that the Space Docker is a one-time thing, and if you lose it, it's gone for good. Thus, you have to be very careful to make sure you take it to the garage after you collect all the parts or you're likely to lose it forever.