If you're having a 3G iPhone or a second generation iPod, you didn't have (until today) to care too much about saving SHSH Blobs. We are talking about those who have jailbroken iDevices, of course. So, these applied, until today, for the 3GS iPhone/3G iPod and later iDevices.
Starting from now, SHSH Blobs must be saved by iPhone 3G/iPod Touch 2G users, because Apple stopped signing digitally for older firmwares for these devices. If you have one of theses devices, changing firmwares was easy, you just had to select an firmware and click update or restore and then to do jailbreak, depending on the situation.
If you update today, for example, your jailbroken iPhone 3G from 3.1.3 to iOS 4.0, and you didn't save the SHSH Blobs for your device, there's no way of turning back. You'll be stuck on iOS 4.0, with iTunes giving you an error when trying to downgrade (restore to older firmware). And this happens because, as I've already told you, Apple stopped signing older firmwares for iPhone 3G and iPod Touch 3G.
So, you really have to save them (just for any case). On your jailbroken iPhone/iPod Touch, open Cydia, and tap on "Make my live easier, thanks!". This is all, it's really simple.
If you're asking what this does exactly, here it is: when iTunes will try to downgrade your iDevice, instead of asking Apple's servers for approval, it will call Cydia, which will, if you have saved your SHSH Blobs, give iTunes "OK for downgrading".