That's right, BACK UP YOUR FILES.
That is, unless you've decided that you can quite easily live without them.
At the minimum, back up your personal files - documents, music, videos, pictures, emails and stuff.
If you are worried that you might get into a mess with Lucid and will want to reinstall your current system, you can make an image of the complete system.
I do this before doing any major change, and it's saved me from ruination on more than one occasion. It takes me about half an hour to do a restore.
How to do it? There are various methods available. This link gives you plenty of options. No doubt other members will have suggestions as well. I prefer to use archives, but if you have another preference, that choice is yours. The main thing is to DO IT.
Unless you are completely confident that you can't possibly install to the wrong drive or partition, get the backup file(s) right off your computer. A removable drive or even DVDs fits that bill, or a server or another machine if you have access to one. If you want to be really safe, have two copies in different places.
Knowing that you have a good backup available does wonders for the stress levels.
I wish you all stress-free installing and upgrading.