Especially tough and heroic individuals such as Space Marine commanders or horrendous alien monstrosities like Tyranid Lictors can sustain more damage than ordinary troopers and carry on fighting. To show this they have more than 1 Wound on their characteristic profile.
When a creature like this suffers a wounding hit it loses 1 Wound. Once a creature has lost all of its Wounds it is removed as a casualty. For example, a creature with 3 Wounds would only be killed after it had been wounded three times. Keep track of how many Wounds a creature has left on a piece of scrap paper or by placing a dice or marker next to the model (Jervis has made little model gravestones for his Wound markers!).