1.
If you want to store the files for later use, and your Wii is 4.3, then just transfer the Wad to SD using the SD menu (at the bottom of the Wii main menu)
These files are stored in ".bin" format, and will work only on your Wii. if you format your Wii you will have to re-download them from e-shop as the SD encryption key has changed.
2.
You can dump titles into Wad files by using BlueDump homebrew.
There are two versions:
Real sign: Sign the wad file using your real individual Wii keys. It allows you to reinstall the wad legally on YOUR Wii only.
Fake sign: Fake sign the created Wad file to be able to reinstall the Wad on any Wiis.
3.
You can make a NAND dump.
It will copy all your current NAND into a folder on your SD or USB. (multiple homebrew allow you to do that).
You can keep the files like that, and play the Titles directly from the copy of the NAND (it's called emulating the NAND. The wii think your copy is the real Wii's content, allowing you to install more Channels on HDD than the limited 512MB Wii's memory)
Or you can extract the Titles from the NAND dump and convert them into wad files too, by using computer's program. (ShowMiiWads for example)
Depending on your interest and purpose of backing up the files, one of the three choice will be better for you.