You don't really need to make a "backup", if you have all the datafiles in winkfp and ever want to flash back to stock, you just select what the stock file was (I did this, went to alpina and back)
if you're talking about backing up the file that you end up replacing in the winkfp data file set with the alpina file, just copy and save that somewhere else on the computer.
Things to note as someone who was on the alpina tune for a while, unless you have pretty aggressive rear gearing (3.62 or higher I'd say) you're going to find the alpina setup upshifts way too early around town and bogs the car down. I had 3.38's in my car, I know the Alpinas had more aggressive gearing.