The different means by which the "happy and dauntless and sagacious" Prince Prospero and his "thousand hale and light-hearted friends" protected themselves from getting killed by the plague of the 'Red Death' are listed out in the second paragraph of the story. They are:
1. Prince Prospero and his friends "retired to the deep seclusion of one of his castellated abbeys." An abbey is by itself a very secluded place where monks or nuns spend their whole lives in prayer and spiritual activities. So the Prince and his friends hope that the evil plague will not be able to penetrate into such a religious place. Moreover, even in this already secluded place they shelter themselves in the - "deep" - innermost and most secluded portion of the building. Lastly, the abbey itself is fortified like a castle - "castellated" - to keep out the Prince's enemies. This building itself was doubly protected: "a strong and lofty wall girdled it in. This wall had gates of iron." So, both physically and spiritually the Prince and his friends protect themselves by withdrawing into the deep, innermost part of the strongly fortified abbey.
2. Once the Prince and his merry making companions had entered the fortified abbey they
"brought furnaces and massy hammers and welded the bolts. They resolved to leave means neither of ingress or egress to the sudden impulses of despair or of frenzy from within."
The decision to enter and seek refuge in the fortified abbey was permanent. The bolts of the gates and other entrances and exits were firmly welded so that no one from outside could come in or no one from inside could have second thoughts about going out.
3. Before locking themselves in, the Prince and his companions made sure that "the abbey was amply provisioned." There would be no lack of food and water supplies till the plague would run its course, after which the Prince and his companions could safely come out.