IPhone – How to set up new iPhone without deleting its data

I had my first iPhone synched with my Macbook, then I bought a second iPhone, a 3GS, and I still haven't synchronized it with my Macbook. In fact, I'm not sure I set this 3GS up with any computer at all: I don't remember setting up this new 3GS with any computer (is there any way I can doublecheck this from the iPhone itself?).

I have been using this 3GS for months, and now it's full of vital data that has not been backed up anywhere. Also, its iOS has never been updated. For these reasons, I'd like to synch it with my iTunes, so that I can back it up, and update iOS.

When I connect the 3GS to my MacBook, iTunes 10 warns me that:

"This computer has been previously synced with and iPhone or another iOS device"

I then have two options:
1) "set up as new iPhone"
2) "restore from the backup of" (here I see my first iPhone's backups)

Obviously I don't want to overwrite my current 3GS data with backups from another phone. Also, I don't want to erase or loose any data currently present on my 3GS.

My question is: how can I backup the data from this 3GS without loosing anything ?

I strongly fear that choosing "set up as new iPhone" will erase everything currently present on my 3GS.