ACP>Tools & Maintenance>Database Backups>New Backup
make sure u select all tables on the back up. because when restoring it ur fked,
If you want to backup just parts of your MyBB installation, do as PJGIH said and use the admin panel utility.
If you want to backup multiple databases, and not just your MyBB installation, you can use utilities in CPanel (if applicable) or phpMyAdmin (also if applicable).
If in doubt about securing all your data, you can ask your host for the best way to backup.