Job and task timing data is saved automatically 5 minutes, and additionally at other times such as when a task or job is edited. Saving the state of the application is therefore not something that you will need to do manually.
Jobs can be saved as Job Archives to allow old jobs to be removed from the main window, or to share job information with a colleague. These saved job archives can later be imported into the application.
To create a job archive, simply drag a job or job folder to the desktop or a Finder window. Job Archives can also be saved by selecting "Save Job Archive..." from the File menu.
To import a job archive, just drag the job archive file from the finder to the job list, or select "Import Job Archive..." from the file menu.
For backup purposes, there is a "Save All Jobs.." option in the File menu that allows you to archive all of your jobs (On The Job stores this data internally in the Application Support folder, if saving the data there is already a part of your backup strategy).