I suppose that it depends on what you're changing and how important your data is. I only back up personal data (basically the contents of my home directory), taking the view that if disaster occurs I can always reinstall the OS from scratch.
Actually you would have to try really hard to destroy your data by configuring things. Short of reformatting your hard disk, or suffering a hardware failure, there's not much you could do which would make your data inaccessible. Even if you were to do something which stopped your system from booting, the data would still be on the hard disk, and you could easily recover it by using the original live CD.