All of your SmartSound music is available for you to redownload if needed from the My Music section of your SmartSound account. You are free to keep your own backups of the SSDL files if you wish. The SSDL files are already highly compressed and are suited for storage. Since the security answers are part of the installation, you will want to keep a backup of these answers as well.
A common method of backing up downloaded SSDL files is to burn them to a CD along with a text file or screen capture of the security answers. Others write the security answers on the front of the disk. How you decide to backup the files is up to you, as long as you store the SSDL file along with the security answers, you will have everything you need to reinstall the music should the need arise.