do I need to do anything to save data when changing sim cards

iPhones do not save any data on SIM cards, so no, you don’t need to save data for that reason. However, stuff happens, and you should back up your phone regularly in the event of unexpected disasters. You can manually back up to your computer, and you can enable automatic nightly backup to iCloud to prepare for the worst→How to back up your iPhone, iPad, and iPod touch - Apple Support.

You can also sync data to iCloud, which is not the same as backing up to iCloud. Go to Settings/[your name]/iCloud and turn on the switches for things you want to sync. It’s especially valuable for photos, because your photos will sync to iCloud in real time as soon as you take them, thus protecting them without having to wait for a backup.