The afterlife isn't brought up as a concern.
At the opening of the series, the Lord Ruler is the physical god of the dominant - and only authorized - religion in the Final Empire. His religion is never pictured as concerned about the afterlife of it's citizens, only their current life and their current obedience in that life. The religion functions more as a governmental beauracracy, tending to the current wishes of the Lord Ruler, and although there is a mythology taught by the priests, it's only purpose appears to be convincing people to submit to their authority.
Incredibly few people are worried about the well being of the skaa, or their purpose for living, beyond that it works to their purpose. Since the concepts exist, it can be presumed people, skaa and nobleborn, believe in an afterlife, but not much else.
And since spoilers are mentioned...
... this state of affairs will evolve, and many variations of religion will occur. There are also magical and mystical events in the series that get interpreted as religious events. Most of these evolutions will also not focus on an afterlife. If not a Heaven or Hell, a form of afterlife will at least be glimpsed, although it will be limited to one singular exception to the norm.