You do that in TWRP under "Backup".
It's important to understand what the different partitions that you can backup are for, and when (and when not!) to wipe them and/or restore them.
The "data" partition is the most interesting to do a backup of when you are going to flash a new rom, it has all your apps and settings, home screen layout, etc. - but not your personal files, fotos, etc. - you have to make a backup of them outside of TWRP.
The "system" partition has the actual rom, but none of the apps or settings you have installed. It is actually usually not so important to backup, as you can always flash the rom again.
There are several other partitions, most interesting is the "persist" partition.
It seems to mainly contain "persistent" settings, that you can not change, and that need to remain the same irrespective of what rom you have installed, like radio settings, etc
But settings for TWRP seem to be kept there also.
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