Just play normally and the game will save where it needs to. You can decide if you want to use Steam cloud or not (I prefer not), but other than that you really don't need to worry about anything.

BUT if you have not played in a while it is strongly suggested that you start a new world/save especially with the newest update. They changed the world generation algorithm so the new Mistlands would be larger continent wise.

So enable/disable Steam cloud, start a new game and play away.