I've experienced it, as my character The Brainer was killed by The Hardholder, (after The Gunlugger had tried and failed twice, but then did so ent passant, but saved her...). The Hardholder had protected her from both the Gunlugger and the Towers gangmembers, and it took us all by surprise.
In addition we had a Battlebabe, and as the Gunlugger also was the medic, the Angel was an unattractive playbook, so I took the Chopper.
The Procedure:
We established that my character and her band of waterjet bike-riding young guns had regularly been to the Tower and it was her favorite place. She also was attracted to the battlebabe and we agreed it was partly because she had stood up to me, whole gang and all (first Hx) and I believe the Hardholder had one as well, and then we read our on your turns and got off. I was included in most of the first scenes, (I think we even shot someone in the Hardholder's Office), and the Battlebabe postphoned her Change to another playbook-move to accomodate a new character.
In short: Do introduction and Hx like in session I and give room to the new character. The new character also knows people and places, or will soon. (Let two weeks pass and he/she/they will surely have met a large part of the 72 inhabitantes of whatever ramshackle place they live. If the role is completely new, just skip two months ahead in the story. Or two weeks. Hell, a new lone face with important skillsets would be known in two days, right?
The feelings:
At first it was a little underwhelming, as the others had their STATS+3, extra fancy moves, but I took the +1 HARD advancement really early, and +1 COOL, so I would regulary succeed in my base moves (I wouldn't have done this otherwise). As the Chopper is a bit distant and aggressive she didn't immidiately make any friends, besides the Hardholder who bonded with my violent and occam's razor-nature, but still had to treat her like a threath.
After two sessions I was right in the tick of it, the Battlebabe changed her view from "Wow, Diamond is really crazy" to "you guys suck, Diamond is the only one keeping it together here"
I'd like to add that everyone was really cool also in involving my dead character. The Hardholder would explain every bad luck with "This is Pallors doing!" and when there was some weird stuff they would say "She would have known what to do" (every character had -1 weird).
Things should work well, but take care to include the new character - and let the player "feel her out". As a new character, it might be better to have clear, easy-to-understand motivations, but that has more to do with group and it's playstyle.
One thing I should mention is that as the end game approaches it can be sad to never get the trancendent roles (for expanded basic moves), or to feel that the character has much more play in it while the others tear the locale apart in a local harmageddon...