From the Knowledgebase: http://support.ournem.com/knowledgebase.php?article=3

Your NEM client stores your private keys, addresses and other valuable information in .wlt (wallet file) and .adb (addressbook) files.

It is wise to have proper backup of those files.

You can locate them if you use Windows here:

C:\Users\[your user name]\nem\ncc\

 

Both files will have name same as what your wallet is named but they will have extensions .wlt and .adb

Here is more detailed tutorial with screenshots.

http://blog.nem.io/how-to-find-export-or-delete-your-wallet-and-address-book-file/

 

Make copies of them. Remember they are protected with password you've set up for your wallet. Make sure you don't loose/forget that password.

Warning: Please do not use the built-in feature to back-up your wallet! Most likely it will generate incorrect data and backup will NOT be usable. We appologize for this issue, it will be fixed in the next release.