You can manually backup your calendars by selecting File > Back up BusyCal, and saving the backup file to your desktop.
BusyCal automatically backs up your calendars every 24 hours and saves your last 10 backups in ~/Library/Application Support/BusyCal/Backup. You can increase the frequency and number of backups to keep in BusyCal > Preferences > Backup.
If your BusyCal calendar becomes corrupted, or you have lost data, you may revert to one of the backups by clicking the Restore From Backup button. You'll be prompted to select a recent backup file and then to select the calendars you wish to restore. The default is to restore only your local calendars. Click Restore and the calendars you selected will be replaced with the data from the backup.