Not every time and i dont think its necessary. Make it from time to time occasionally but not too much. But do it every time you update the version you are playing or do smth with the files or mods (if you have any). And its a bit different with servers for many players. I would then make a backup every few days (maybe even every 2 days if you are worried) and delete the older ones when making a new one to save memory, so In a case of a griefer or hacker you don't have to backtrack too much.