Someone may be able to tell you a string to place in the run dialog so you won't have to find the folder in this way:
Search your hard drive for a folder named speechdicts.
Copy it to the clipboard and paste it where you want to back it up. The speech dictionary files are in that folder.

If you want to get the path so you can just put in the run dialog, do the following, once you are on the speech dicts folder.
Open the context menu, then find and open properties. The path is given there and you can use the NVDA f9 and f10 method for copying the path to the clipboard.

I think the NVDA speech dictionaries should have an export button in the dialog of the dictionaries. It would export all of the dictionaries regardless of which dialog you use the button in.

Gene