Good tip from Yek here:

I'll say it bluntly: with the Axe-Fx II there's no excuse for not having a recent backup of your presets.

Yes, dumping stuff to a computer still requires MIDI or USB, a cable and software, but the Axe-Fx II also features this: Onboard Rom Backup and Restore. It's really just a matter of seconds now.
Press Utility.
Go to the Preset page.
Select Backup Bank A, B of C, or System, and press Enter.
The Axe-Fx will save a copy in its internal Flash memory.
If you need to restore stuff, go to the same spot and select the appropriate Restore option.

I'll repeat: it's really just a matter of seconds.

So what's "System"? The System Bank contains all system settings, such as Global settings (incl. Global EQ), I/O settings (incl. MIDI), custom scales, tuner settings. It also includes all "user cabs".

Also very important, it contains all Global Block information! This means that, if you're using Global Blocks, just backing up A, B or C doesn't guarantee full restore safety. You always need to back up System too, to be able to restore all Global Blocks.

Including System is also important when you're exchanging presets with Global Blocks with other users and want to preserve those global blocks. But be aware that any user who loads your System file will wipe out his own saved user cabs and global blocks, so he better have his own backup!

Of course, periodically backing up your Axe-Fx II to your computer is still a sensible thing to do, for emergencies. You can dump the Axe-Fx II contents via MIDI or USB using an utility such as MIDI-OX or SysEx Librarian. Or you can use Axe-Edit's handy Sync and Backup feature in which case you'll find the saved files in the Utilities folder under Workspace.
Backup and restore - Axe-Fx II Wiki