Use the iOS 5 forums for this type of stuff next time.
You can backup to iCloud from the iCloud settings in your phone. It will backup when you have it plugged in (most likely overnight). You can also change the settings from iTunes. When you plug your phone in, it will give you an option on where to backup on the main summary page of your phone. You can choose iCloud or iTunes. Make sure you hit apply.
iTunes backups are stored on your computer in a folder that really isn't relevant. If you need to restore, it will show you the latest backup and you can proceed from there.