When you are on Blogger.com, WordPress.com, or one of the other free blogging platforms out there you really don't have to worry too much about backing things up.
But if you're on a self-hosted WordPress install it's a good habit to occasionally back-up your blog locally.
Here's a tutorial I wrote, hopefully it'll get you going!
http://www.mclanecreative.com/2011/how-to-back-up-your-self-hosted-wordpress/
Head of the monster tribe. Lead family gardener.