Backup your phone using iTunes to be on the safest side. Now use redsnow to jailbreak your phone, normally if everything went good with no issues, nothing will change on your phone nor on your settings except that you will now see one new icon on your home screen. An icon called cydia.
After connecting your phone to your computer open up iTunes and you will see your phone icon and the name of your phone near by in the left panel of iTunes. Right click on that icon and in the drop list select "backup"