Performing an export of your current mailbox can be used as a back up.

1. Open Outlook
2. Click File
3. Click Import/Export
4. Export to a file > Personal Folder File > highlight the top folder and check the include subfolders box >
5. Browse to the location that you would like to save the PST file (i.e. your desktop)
6. Click Finish

This will not remove your items from your exchange mailbox as long as you do not select any option that says deleted items after export.

Hope this helps.