SideNotes makes backups automatically: while you're working. It also deletes old and redundant backups. It's all convenient and it works pretty well.
However, you can also do backups manually. That might be a good thing if you want to be sure that the backup is made at the right moment. Or if you disable automatic backups. Also, such manual backups are locked by default. That means that they won't be deleted when SideNotes cleans old backups (assuming that automatic backups are turned on.), so the backup is always safe.
To do manual backup, go to Preferences → Backups.
Now, click Browse Backups... button and click Make backup. That's it.