This is a great little plugin that allows you to do a single backup or entire directory backup of your Themes from the admin panel of your site. I made this tool specifically to assist when updating my themes. Often I would do an update and find I needed to roll back, because the update was a bit more problematic than the previous version. Rather than tracking down a previous version, I had one stored on my site and could download a zip anytime.
This is also helpful if you have a perfect set of themes and want to roll them out across multiple sites, back up one site and your ready to deploy.
Also, you might enjoy Plugin Grabber.