With the File Open on your local computer, Select Save A Copy As.. from the File menu to save a copy of your current file.
With the file closed, use the operating system to duplicate (Macs) or copy and paste (windows) the file to make a copy of it
If the file is hosted over the network using FileMaker Server, use the Admin console to run a back up schedule to create a back up copy of your file. You should set this up to happen automatically.
And it can be useful to set up your development copy of the database to make frequent backup copies automatically: Saving Sequential Back Ups During Development