As with any data collection practice, it is always important to backup your data. Do this regularly and you will be in a much better place if anything happens to your data during the course of your research.
REDCap is a great tool but has limited analysis capabilities and you will likely want to analyze your data in another program. REDCap has a number of export settings to allow you to export data without breaking privacy rules.
First, go to the Project Setup page, and then click on the "Other Functionality" tab at the top of that page.
In the "Copy or Back Up the Project" section you can choose to either copy the project or download a backup. (screenshot)
If you click the "download metadata & data (xml)" button a window will open with options on how to download the data from the project. If you leave everything unchecked you will get all of the data in the project in a csv and you will be able to recreate the project with the xml file. (screenshot)
You could also choose to copy the project and if you choose to copy all of the records over, you will have a backup of your current project.
If you want to export your data, you can go to the "Data Exports, Reports, and Stats" section (using the left menu)
Then click on "Export Data" and choose the csv option to download a copy of all of your data.
For ease of analysis you can choose to export data in a variety of formats, the csv is the most widely useable, and there are versions optimized for various statistical softwares. The difference between raw data and labels versions is that the raw data has numerical data for all multiple choice questions and the labels has the text labels for those answers.
For privacy and other concerns you can choose to remove Identifier fields, hash the Record ID field (particularly useful if you renamed the Record IDs with something to keep track of participants), remove text fields, remove data and time fields, and remove survey timestamps. If you choose to shift all dates instead of excluding dates, note that each Record will have their dates shifted by a random amount.