I'd back up if possible, but none of your files will be lost as long as you do not erase or partition your hard drive! To ensure your data's safety, I would archive and install when you install Panther. Have fun!
-Chase
As rendezvouscp said, nothing will happen to Mac OS 9.2.2 during the upgrade process, even if you do an archive and install as suggested. So go right ahead and install Panther (but do back up first just in case something goes horribly wrong).