Without third party apps, there are two ways to backup - using the backup program on your Axim or via ActiveSync. Storing your backups in either Built In Storage or memory card would be considered "safe" since a hard reset only deletes items stored/installed in Main Memory. Having said that, you can also manually copy your backups via ActiveSync over to your desktop for added security.
As Gothman mentioned, many people prefer using Sprite Backup. The advantage to Sprite include speed and the ability to create self-extracting backups. If you are interested, there is a review in the reviews section:
http://www.aximsite.com/articles/link.php?id=196
As to where you install your movies, music, etc., yes, the best place would be on a memory card. You can also put programs on your memory card, provided that they are not today plugins or programs that run on startup; some programs also specify they should be installed in Main Memory (default).