> You know, you're right, we're probably going to die

Yes, sure.

> Naturalism is a belief that entails infinite negative utility for the adherent.

How?

> death is an infinite loss

First, it's strange to assign inifnite loss to non-existence.

Second, belief in Naturalism doesn't entail you will die; Naturalism (as believed in its current form) entail you will die. You have to differentiate between what is entailed from adopting a belief, and what is entailed from the content of the belief being true. You can believe in Naturalism, but may be theists are right! May be the naturalist won't die but happily suffer in hell for all eternity! Or perhaps there is a weird god who only allows Naturalism in heaven and make all theists suffer! and so on so forth. So even belief in Naturalism can only potentially lead to "infinite loss" or "infinte gain". Which makes believing in Naturalism again on par with believing in Theism.