I'll not be so radical as Rechil on the question of full backup: in fact, making and trying a new kernel will not damage any file on your system. Sure, you are facing the possibility that the new kernel will not boot (it is normal, and not only with your first kernell ;o)). The main troubleshooting option is not the full system backup, but keeping the old working kernel and the possibility to boot it in the bootloader's menu... And, anyway, you are able to boot and repair the system with some live Linux CD distribution.
Then, playing around with the system (not just the kernel) is a great way for education - and I believe, it's a reason as good as any other (or may be even better) to build a new kernel.
Unfortunately, the Kernel-HOWTO is terribly out of date and is removed from TLDP (The Linux Documentation Project) site though you can find it on www.faqs.org ; a small how-to you can find here: http://www.digitalhermit.com/linux/Kernel-Build-HOWTO.html
More importantly, check the way of your multiple-kernel bootloader configuration, either GRUB or LILO in your man , info and docs, or google for it.
Good luck,
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