As you try to make sense of "The Sickness Unto Death," it may be helpful to think back over the book using the final paragraph as a key. The final paragraph links together the concepts of despair, sin, and faith, noting that faith is the opposite of sin as well as the solution to despair.
Recall that Part I offered multiple definitions and examples of despair. All of the forms of despair involved a failure to be a human being in the fullest possible sense. Kierkegaard described despair as a sort of default condition in which people find themselves--whether they are aware of it or not--unless they take decisive action to eliminate all traces of despair.
As early as Part I.A.a., Kierkegaard indicated that the solution to despair would involve establishing a relationship with the "power" that established the individual human being--in other words, with God. By connecting us with the source of everything in the universe, such a relationship would presumably enable us to maximize our human potential.
It becomes clear in Part II that Kierkegaard understands Christianity to be the one religion that teaches us that we may have an individual relationship with God. The essence of Christianity is therefore to teach us the solution to despair.
Once this solution has been revealed to us, remaining in despair is not just a misfortune, it is a sin--a violation of God's command. Sin, Kierkegaard explains, is an intensification of despair, because it is a form of despair committed with the knowledge that solutions to despair exist.
Presumably, the point of The Sickness Unto Death is to encourage us to pursue faith. Yet you may feel that Kierkegaard has left us with more questions than answers. As Kierkegaard repeatedly stresses, his vision of Christian faith defies rational understanding. What does it mean to have an individual relationship with God? How would we know if we have such a relationship? Kierkegaard cannot answer these questions. He can only urge us to pursue them on our own through introspective reflection.