I have created a lot of scripts to backup hosted feature layers...... Pros and Cons all around. Tom_Laue's link he shared is the best way to start off.
You can take this script in his link, add it to ArcGIS Pro notebook and schedule it to run periodically.
For the layers, yes, make sure you tag them with a specific tag.
ALSO!!! depending on your user type/Role in AGOL if you are not an Administrator go into the settings of each hosted feature layer and check the box for "Export Data" if you are not the owner of the layer and this is not checked, it will not export.
If the account you are using to run the script is an Administrator, no worries you will be able to export it.
