I like tinyumbrella because I can have it get the new SHSHs for me when an update comes out without me having to hook up my devices. I have 4 iOS devices, so I just open TU and click save all shsh for each device.
Be prepared to wait a long while as well,I expect with all the 4.3.1 Jailbreaks going on at the moment you'll be waiting a long while as well, my son's Ipod touch 4G has had the pending message on it over 3 weeks now, a bit annoying if you don't know what it means but it doesn't do any harm
I don't know which bit makes it do it, whether you wait after clicking "Make my life easier" or you can also download a little app called iSHSHit, that will find out what you've got saved and send them directly to your phone, you can then email them to yourself for safe keeping. But as stated above, get the latest version of Tinyumbrella and it will save then to your PC straight away for you