"In a state of grace" is usually used to talk about a person's character or personality. It is used to show that a person is patient and understanding and gives others the benefit of the doubt. However, it is also used in a Christian sense, and it means that God's grace has been given to a person. "Dying in a state of grace" means that the person's sins have been forgiven and they will go to heaven when they die because God has given them grace. I don't hear this very often, but I think it may be a more common phrase among Catholics or traditional Protestant denominations, which I am not involved with.