To be 100% safe, you could simply back up your entire OCD data and program folders (whereever they may be located).

To be more specific:
OCD creates a .DAB file for each music collection you create. In addition the application will create a sub folder named <music collection name>_covers, where you'll find all your covers. This folder is only created if you configure OCD to store your covers externally.

And finally OCD creates a backup folder, which contains a backup of your .DAB file(s). The backup files have a .BAK extension in OCD 5.x.

If you have downloaded or modified themes and/or templates, it's probably wise to backup the Template folder in your OCD program folder (normally C:\program files\OrangeCD\templates)