Yes. It is not hard and not expensive. A backup drive will cost a bit more than $100 and your stored media is obviously more valuable than that.
If you prefer to keep you external storage system completely wireless you could plug the backup drive into the same Airport Extreme (or other router) as the live drive. However the initial backup will be a lengthy process and you will see slow but tolerable incremental backups. For faster speed you could plug the backup drive into your Mac, especially for the first full backup. You can experiment with this. It will work either way and you can change the location even after the initial backup.
I would recommend purchasing a 3 TB USB 3.0 external hard drive for the backups. (Almost any brand will do except WD.) Partition it with a GUID partition as Mac OS Externded (journaled).
To copy the data I recommend cloning software such as Carbon Copy Cloner or SuperDuper! The first time that runs it will take a long time to copy all the data over the network but after that it copies only the data that has changed.
Cloning is also an excellent way to backup your system drive. If you use a 3 TB disk and you want to get fancy, you can partition it into 2 TB for the media backup and 1 TB to clone for your internal system drive.