@redwall_hp - If you choose to do that, yes. But I opt to have my backup files stored on the same server as the site, in it's own folder. Alternatively, I could have backup buddy email me the zip file containing just the database if it were of small size.

I occasionally download the various backup files which creates two back ups, one that is off site via my webhosting account, and on my local PC. If I feel paranoid, I'll move the backup file to my external hard drive.