In your case you will save to USB. So you will need to insert a USB stick or USB HDD. Either way, as you have no HDD installed, you will backup to USB.
From memory a full Back Up is initiated as follow:
Menu-Black Hole Full Backup-OK-Choose the path to save to (/media/HDD) Green or (/media/usb/) - Red (backup). Wait for completion.
WARNING: If you already use a USB device for Univervers, Swap, Picons, etc Do NOT use it for backups. Instead removed it and insert another one and keep it as a dedicated backup stick!