You can do what you would like. However, Favorites Lists by their very nature are individual "things". Trying to consolidate them into one file for backup purposes essentially creates one big old Favorites List.
There are several methods to back up files. For Sentinel files probably the easiest way is to use Windows Explorer and navigate to your C:\USERS\<NAME>\DOCUMENTS\UNIDEN folder. Then copy the BCDx36HP folder and paste it to where you would like it saved. "Where you would like it saved" could be a thumbdrive, external drive or CD, etc. This would make a copy of all your Favorites Lists, Profiles and Activity/Discovery Logs (if any).
For any ARC created files, note where you save the files using ARC. Then use your Windows Explorer to navigate to this location and do the copy/paste mentioned above.
Another option is if you use some type of backup system such as Carbonite or use an external drive for file backup purposes. Just make the appropriate settings so that your scanner files are included in your backup/save routine. This method results in automatic backups based on a schedule you create.