We can and should back up our work in Burp. We can set this as an automated action in Suite Options | Misc under Automatic Backup.
This option has saved my life and sanity multiple times. When I just started using Burp and was unaware of setting memory options while starting a few times, I had the software crash on me. This feature is incredibly useful if your work becomes part of a report that might be seen by others.
Two sensible options, along with enabling automatic backups, are to choose a folder on a partition with enough free disk space, and ideally backup only in-scope elements.
I personally back up the folder to an external drive using my operating system backup program just in case there is a catastrophic disk failure. Have a look at the following screenshot:
