I would like to do a backup of my blog.
I took a look at this page:
and WP advises there:
Backup using cPanel X
cPanel is a popular control panel used by many web host. The backup feature can be used to backup your MySql database. Do not generate a full backup.
Why does WP advise not to generate a full backup?
I saw on another site, where he suggests doing a full back up through cPanel and says to use this back up you would need to submit a support ticket with your webhost. They could perform the backup within a few minutes.