You would go into phpMyadmin and export each of the databases. There is an option to export into a zip file or gz (and perhaps others).
Make sure to have the database name in the filename. I usually use a file naming convention of
Year Month Day Database Name
Such as
070627 databasename
That usually works for me, but I would make sure you can import that database from the saved file to make sure the procedure is working. I had it malfunction recently (when it saved the server name instead of the database name in the filename).