1. Using Desktop Manager, there is a nifty Backup application, which will get all your data, messages, contacts, preferences, etc.
2. Your third party applications will no always be backed up using the above. Read this below for backing up your third party applications. How do I backup my Third Party Applications on my BB? - BlackBerryFAQ
3. If you have BOTH devices in your possession at the same time, in Desktop Manager, use the Switch Device Wizard, which will cover both of the above.