Each time you close your Dash Core wallet it makes an automatic backup and places it in your backup folder.
But it is wise to keep a few additional backups offline (usb stick or something). And it is also wise (as JGCMiner points out) to make an additional backup before troubleshooting.
You can create backups from within your running Dash Core wallet (File - Create Backup), i don't think it matters if the wallet is still syncing or has problems syncing as it will just make a backup of your wallet.dat file.
What you should never do is manually copy your wallet.dat file, while the Dash Core wallet is still active.