You don't have to be on that firmware to back it up. For example, my 3GS is still on 3.0, but have 3.1, 3.1.2, 3.1.3, and now, 4.0 backed up through Cydia.
And, since you are not on 4.0, in TinyUmbrella, put check mark on "Advanced Option" , under new option "Device/Version" select "iPhone 3GS 4.0," and then, click on "Save My SHSH." Afterward, SHSH blobs will be on your computer and Cydia.