We are gather here today to rejoice in the life of Scarlet the Khajiit and mourn her passing. As a young kitten, she chose a darker path by joining the Dark Brotherhood, after 37 cold blooded murders, she was changing her ways. She save the order of the Champions. She about to lead them in greater glory, but Whitrun guard in a durken state of mind, shoot many arrows into her. Champions does not know the right way to lay to rest a Khajiit, but gave her a respected Nord funeral. Please go to the underforge to pay your last respects and wish her soul to the afterlife.

(and there was much tears and hugs from the onlookers)

I heared rumors that the Guards recruit people by shooting arrows at their knees. If one goes in then you are forced to be a Guard.

There is only one way to respect the dead
(use dead thrall)
look she's fine now

Lore Question:

Where is her soul now?
In the void (Night Mother)
Hunting grounds (Werewolf)
Khajiit afterlife
Since put to rest like a nord -- nord afterlife?

You missed out Nightengale afterlife

I'm going to say it's either with Akatosh, or in Sovngarde if you completed the main quest. Because you did defeat http://elderscrolls.wikia.com/wiki/Tsun after all. Which means your are strong enough to enter the http://elderscrolls.wikia.com/wiki/Hall_of_Valor. But here's the problem with going to Sovengarde.

Is she dragon born? If so then I'd say the dragon afterlife.

You are the Dragonborn, so I'd like to think you can choose where you go, but I'd be interested in what answer the lore would come up with as well.

R.I.P. Scarlet.

She did not do the main quest. She is the listener for the DB and the head of the Champions. Who is stronger then Hircine, and Sithis?

Sithis is stronger, but may not care.

I'm going with Hircine.

Dovakiin are inherently dragons within a mortal shell...i dont think the Dovakiin will go anywhere but simply live on untill he/she manifests itself again on the mortal plain. Unless of course your Khajiit was not the "dovakiin" then i believe it would depend on the choices you made in life.

Yes, she shouts and visit the Gray Beards once....

...COMPANIONS.
In that case, I say Sithis.

I'm going with nocturnal also I made a thread about this and in the end we agreed it would go in this order
Nocturnal
Sithis
Hircine
Sovngarde
Here's a link http://www.gamesas.com/topic/1381730-where-will-the-dovahkihn-go-when-he-dies/

Well, she is #3 (Sithis, Night Mother, Listener (Scarlet))

Do we know anything about a Khajiit afterlife? Anything at all?

Why? What is the logic behind the order?

You promised Nocturnal your soul
You are the listener of the brotherhood
Hircine always overhauls sovngarde
Sovngarde is an invite not a comitment

None have any claim on her...she is Dova...and so her soul will live on and on and on...constantly returning. With this in mind, Akatosh has sole claim on any Dovakiin.