On Concepts for Windows, your drawings live in an automatically created folder on your device. Deleting Concepts will not delete your Concepts folder.
 
You can locate your Concepts folder by going to Gallery > Settings > Gallery Folder Location. Tap "Open Gallery Folder" and Concepts will open your folder in Explorer. You can either copy & paste your drawings to an external drive, or let your preferred cloud service back up your Concepts folder.

Note that we don't support cross-device syncing yet.