You don't need to back anything up... I mean it isn't a bad idea in case of hard drive failure...

but you can have as many world and character saves as you want and can store on your computer. They are not limited in any way.

I got in the habit of naming my world saves after the character to keep them organized.
But I have over 20 worlds and characters going.

Note - if starting an old save after an update it may take some time to open as it is updating it. Typically though I just start a new world for each update to avoid issues and get the full experience.