I <3 our Entourage MVPs. Why, do you ask?
Well, not only are they all extraordinarily winsome and talented, but they rock beyond all belief. Michel Bintener has posted using Automator and Entourage to back up the MUD folder to the Entourage help blog. Corentin Cras-Méneur posted another article to the same blog about archiving your emails with with EagleFlier, and Diane Ross talked about backing up individual items.
Backing up is always (always!) a smart thing to do, so maybe one of these methods should work its way into your regular plans. If you have any feedback about either of them, make sure you add a comment to Michel's or Corentin's blog post.