How do i export all the data in civicrm?
The way to export the complete data is a full database dump, eg via mysqldump.

Much of the data will be exported if you do it piece by piece, but it will not be complete and as you suggest there is risk of missing some fields doing so manually.

It's possible your hosting environment will offer some interface to make a db dump - they should have documentation, or you can ask their support staff.

If possible, I'd recommend talking to a technical advisor to ensure you get a complete copy. One you have this, make sure you verify it's complete somehow (ie by loading it into a new system); an untested backup shouldn't be trusted on faith alone.