How to do it:
In the main BBM window, hit the menu key, and select options. Scroll down about halfway and you'll see the contact list backup. To backup locally (to your device) select local. This is a one time thing and will not continually update as you make changes. To backup remotely, select remote backup, then select one of your email address' from the list. Your BlackBerry will send a confirmation email to yourself to confirm its a legit email address (and associated to your BlackBerry).