Although GameMaker:Studio has the option to use source control when working on your projects in a team (see An Introduction to Source Control), for individual users, private projects, or just as an additional security measure, it can be handy to have your own local back-up copy.
Now, you can just have multiple sequential saves, with each one having a different name like MyGame0.gmz, MyGame1.gmz etc... but that can quickly become annoying and inconvenient, as well as a pain to remember every time you save. However, GameMaker:Studio also comes with it's own local backup solution.
To configure GameMaker:Studio so that it backs up your game is a very simple process. First you will need to open up the Preferences window (from the File drop down menu in the IDE) and go to the first tab labelled "General"
If you look down the left hand side of the form, you can see that there is an option marked "Enable Backup On Save". Flagging this will mean that from this moment onwards, every time you save your game, a backup version of the *.gmx will be created. You can then set the directory for these backup directories to be stored from the option beneath this flag, and you can also specify the number of backups that you want to keep (the default is 5).
When keeping more than one backup, GameMaker:Studio will save each version in it's own folder with a numbered suffix (starting at 0). These backups are cyclic, such that the most recent one is always numbered 0. So every time you save, the backups move up one, with 0 becoming 1, 1 becoming 2 etc... and the last one is removed.