Launch iTunes from your dock.
Connect your iPhone to the computer via the USB cable and select it from the iTunes sidebar or at the top right of the screen if you're using the new layout.
Make sure you are on the Summary tab and click the large Back Up Now button.
Notice the progress bar will tell you the status of your backup.
Once complete the date and time of your last backup will be updated.
To see all the device backups on your system select Preferences from the iTunes menu.
You can find the list of backups in the Device tab.