My player right now is only created one time. I end up loading the new level and moving its position to the start location of the new level once it gets loaded behind a loading screen.
Im at a point in development where doing what you suggested will take too much time and simply wont work. Id have to redo almost all of my player code. One of my biggest mistakes I think, is that my main game functionality is all inside my player class. So the player contains the code to do almost everything in my game.
EDIT: Another issue that I am having is when the player loads into a new level, then they return to the main menu, when they re-enter the game the level does not load because the game doesnt know which level to load.