Say you launch a satellite into GEO using Falcon9
The 1st stage returns
The 2nd stage is moved into graveyard orbit.
But what happens to the payload fairings?
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A payload fairing is separated as soon as possible when the air is so thin that the payload needs no protection anymore. This reduces the weight of the remaining rocket. The fairing is usally separated at a height of about 100 km before the rocket is orbital. Therefore the fairing has a suborbital flight and reenters the athmosphere. Separating the fairing early leaves more fuel to be used for the payload. If the fairing would be separated just before the payload at orbit insertion, the maximal payload weight is reduced.
The fairing may be separated at the same height for LEO as well as GEO launches. It will not reach an orbit.
Or at least that's the plan. They had their first successful single fairing catch in January this year, and their first successful double fairing catch in July. A new fairing costs around \$6m (\$3m per half), so reusing them reduces the cost of launches still further.
The fairing shells come down on parachutes but their guidance is relatively poor, so catching them in the net on the retrieval ship is still a new thing. Eventually it seems likely that this will be as routine as landing the first stage back on the barge is now, and losing anything will be the exception rather than the rule. For now, it's still in the early stages though.
Note that even if they miss, the parachutes should ensure splashdown is relatively gentle and the retrieval ship should still be close enough to pull them out. SpaceX have been pulling them out of the water for reuse up to now, so they aren't lost; the improvement this year is that they're now going to be caught on the ships. Contamination with salt water makes refurbishment more complex/expensive/longer, which is why SpaceX would prefer to catch them in the net on the ship and keep them dry.
According to the above link for the double fairing catch, the first reused fairing (i.e. one fished out of the sea and refurbished) flew last November.
(Edited to correct that fairings have already been reused.)