After digging through the documentation and forum discussions, it looks as though backing up Opera requires
dozens of individual file and folder backups. Ouch!
Actually it's not as bad as it seems. Opera uses 2 main directories on Windows: AppData\Roaming\Opera Software\Opera Stable and AppData\Local\Opera Software\Opera Stable. The latter is only used for caching purposes, so you can easily ignore this. The first however is the program and data folder.
So if you include that folder in your regular backups you'll be safe. As Leo mentioned Opera itself doesn't provide a tool for this, but any archiver should be able to help you out. My personal favorite is WinRAR because it allows you to set up profiles which you can then run (either automatically or through the use of an icon) to back up / archive specific folders.