As mentioned in General settings, the Backup feature is ON by default. It is highly recommended to keep it that way! You may also like to invoke the Autosave feature. Whereas a .BAK file represents the penultimate version of your work, Autosave will create a copy of the current file state.
Autosave will only be invoked when LMMS is idle, so it will not by default happen in replay or during export! You control the interval between each Autosave. Because an autosave results in a tiny drop in performance, you find the settings for using Autosave in Settings > Performance. A choice of 5 - 15 mins is recommended. The default is 5 mins. If LMMS crashes it is very important that you pay attention to the screen next time you open LMMS! You will get 2 options from Autosave:
Ignore: anything Autosave has kept will be deleted!
Recover: LMMS will load the Autosave version of the last loaded project as a recover project! You need to use File > Save as and rename the recovery file to a name of your own choice! Do that immidiately!
Remember to save often! Save your project every time you've created something that sounds great. It's also a good strategy to save different versions of your song, allowing you to revert to a previous version of the project in the event that you've tweaked the production into something you don't like.
LMMS provides a special version control option for this in the File menu: Save as new version. Let's say your project was named as "MyProject", the new version will be named "MyProject-01", and the old file will not be altered.
When you save a project for the first time, you will be prompted for a folder and project name. You also have to choose if your project should be compressed (mmpz) or uncompressed (mmp). Subsequent saves will overwrite this file, and LMMS will show you a small message at the bottom of the screen.