Before running the migration plugin, it’s recommend to make a complete backup of your site; both files and database should have a good backup made. This isn’t particular to migrating to ClassicPress; I make the same recommendation for any process which is going to impact on files and/or database.
By a good backup, I mean verifying that the backup has worked (e.g. all the expected files are downloaded and the database backup file contains the relevant tables. Without this you won’t be able to restore in case of need.