According to this information in the Adobe Photoshop Windows FAQ, they're stored in a *.psp file somewhere on your hard disk. This means you could just make a copy of that file to back it up.
To verify this, you could try an experiment of deleting the file after making a copy (or just moving it), running Photoshop to see if they're gone, and then restoring the file and running it again to see if they've be restored.