Saving your SHSH blobs is the single most important thing you can do to preserve your jailbreak. If you ever accidentally upgraded to a new version of iOS that hasn't been jailbroken yet, saved SHSH blobs would help you downgrade.
The new version of TinyUmbrella is out (version 5.00.77), and not only does it allow you to save your SHSH blobs for the new 4.3.5 firmware, it also gives you the choice of whether or not to update your iPhone 4's baseband...