When a player loses, both spirit and host will be sent to the Shadow Realm. However, Yami Marik would not be sent to the Shadow Realm along with his "host's" spirit if he lost, since he was an alter ego that Marik created himself, whereas Yami Yugi is a completely different spirit living dependably inside Yugi's body with Yugi's own spirit.
Turn 2: Yami Yugi
Yami Yugi draws "Exchange". He then Normal Summons "Queen's Knight" (1500/1600) in Attack Position. "Queen's Knight" attacks & destroys "Vampiric Leech". Yami Yugi Sets 2 cards.
Turn 3: Yami Marik
Yami Marik draws. He then Normal Summons "Juragedo" (1700/1300) in Attack Position. "Juragedo" attacks & destroys "Queen's Knight" (Yugi 3500 → 3300). Yami Marik then Sets 2 cards.
Turn 4: Yami Yugi
Yami Yugi draws. Yami Marik then activates "Left Arm Offering" to discard his entire hand and add "Monster Reborn" from his Deck to his hand. Yami Yugi then activates "Exchange", which forces both players to take one card from their opponent's hand; Yami Yugi takes "Monster Reborn" from Marik's hand while Yami Marik takes "De-Fusion" from Yami Yugi's hand. (Other cards that were shown in Yugi's hand at this point include "King's Knight", "Kuriboh", and "Ragnarok"). Yami Yugi then Activates "Monster Reborn" to Special Summon "Queen's Knight" (1500/1600) from his Graveyard in Attack Position. Yami Yugi then Normal Summons "King's Knight" (1600/1400) in Attack Position. Since "Queen's Knight was on the field when "King's Knight" was summoned, the effect of "King's Knight" activates, allowing Yami Yugi to Special Summon "Jack's Knight" (1900/1000) in Attack Position.
Turn 5: Yami Marik
Yami Marik draws. He then Sets a card (Yugi's "De-Fusion"). Yami Marik then activates "Card of Sanctity" to make him and Yugi draw until they both have 6 cards in their hand. Yami Marik then switches "Juragedo" to Defense Position.