Windows
If you want to back up the message folders locally (in addition to keeping them on the server), you can export the items to a .pst file that you can restore later as needed and use by importing.
Please follow the instructions for Windows computers here.
MacOS
To back up the message folders on a Mac computer you can manually archive to an Outlook for Mac Data File (.olm) on your Mac — your email messages, contacts, and other items. You can save an .olm file to any location on your Mac or on a different machine for safekeeping.
Please follow the instructions for Apple Mac computers here.