how do i backup my iphone
http://support.apple.com/kb/HT1766 how to backup
http://support.apple.com/kb/HT1414 how to back it up, update it, and restore the data.
I am not sure if this is correct, but I think that when you plug in your iPhone it automatically backups your iPhone.
EDIT: This is incorrect. Please follow Appletini's post.
Retrieving data ...