Whenever you use GoZ to send work to or from ZBrush, files are created in the /Users/Shared/Pixologic/GoZ_Projects folder. (The exact path may vary depending on your OS.) Simply back up this folder to keep a copy of your work.
It is highly recommended that you back up this folder if you're planning to reinstall ZBrush. Doing so will help ensure that none of your work is lost after reinstallation.