The location of the option to create/not create backup copy varies with the Word version. For 2010, it is in the Advance Options section. There, in the Save section, you will see an option to allow background saves.
I don't see much of a down side for having a backup copy (disk space cost being one). As for background saves: in certain earlier Word versions, there was a slight risk of file corruption with then so-called "fast saves"; however, I have seen no reports of problems with background saves in recent versions. However needs and views differ and that's why the options are there.
If you refer to Windows backup facilities for system, application and other files, the settings for those features can be accessed through
Control Panel\All Control Panel Items\Backup and Restore
and
Control Panel\All Control Panel Items\System then System Protection from left side of window.
Tom Ferguson