If you have relatively small db and a fast internet connection, backing up via Admin CP works just fine.
If you have larger db or slower internet connection but have plenty of space in your server, you can still back up via Admin CP. This time use SAVE AS FILE TO THE SERVER option and save the backup as a file in your server. Then you can get it slowly and partially via an utility like flashget, getright, gozzila etc. This is how I back up my own board.
If you dont even have enough space in your server to save your backed up db, check
here