Although I haven't studied it in depth, I was always taught that there was a "waiting place", which has been called Paradise, and, I think, Gehenna. Jesus told the thief on the cross, today you will be with me in Paradise.... the other thief? Apparently not...
It appears from at least that, and one other scripture that the waiting place is divided, good and bad... read about the rich man/poor man and "Abraham's bosom", and the great chasm between the two places..
This was obviously before the final judgement, which I believe is yet to come, for all of us.