A member over at the XDA Developer forum, by the username hx4700Killer, has come up with a backup tool for your Windows Phone 7 device. It's a simple .Net program that allows users to backup their device via Zune and can be used for restoration when you use the "update" option.
There are a few prerequisites that need to be seen to before-hand:
- Zune software installed (sorry OS X users)
- Windows Phone Support Tool installed (x64 or x86)
- An update package from any phone (link)
Should you be missing any of the above the application will alert you and even open a web page to point you in the correct direction for the absent link in the chain. To download and find out more information, check the source below.