With the new iOS 4.1 update around the corner, it is more important than ever to back up your SHSH files to ensure that you will be able to downgrade to 4.0 after the new update has been released.
TinyUmbrella, a handy application which allows you to both save your SHSH files and also use them to downgrade, isn't new - but it has been updated with performance improvements and a nice big GUI upgrade. More information on the improvements and the new features can be found at the developers blog, here. With 4.1 right around the corner, we figured now's a good time to remind everyone.
A recent tweet from @planetbeing stresses the importance to back up your SHSH Blobs before updating to the new 4.1 firmware.
Saving your SHSH Blobs using TinyUmbrella is very easy, and takes hardly any time at all. One of the advantages of using TinyUmbrella to save your SHSH is that it bypasses the need for a jailbroken device. Also, when downgrading a device, TinyUmbrella sets up its own virtual server on your machine, and tells iTunes to connect to it via your hosts file. All this is automated and separate from the Cydia server, making it a lot simpler to downgrade. Because your SHSH files are saved locally, you may also back them up yourself, as oppose to them being stored on a server somewhere where you can't access them.
TinyUmbrella can be downloaded from here.