Having SHSH Blobs will make you able to downgrade your iOS to the said firmware version once Apple pushed the new firmware (iOS 5.1.2 perhaps) out and then stop signing iOS 5.1.1. Who knows mistake happen, you accidentally update your firmware version newer thant iOS 5.1.1. In that situaion, you can downgrade your iOS anytime without worry.
How To Save iOS 5.1.1 SHSH Blobs with Cydia.
This is for those who owns Cydia icon on their device's homescreen or in other words for jailbroken iPhone, iPad also iPod touch. You can launch Cydia to find out whether Cydia has stored your SHSH Blobs of iOS 5.1.1.
Do so by launching Cydia and see SHSH with number of firmware versions that are saved by Cydia. See if the iOS 5.1.1 is included there. In case you don't see it, then close Cydia and re-launch it, you will find that Cydia should be saving iOS 5.1.1 blobs now.
Save IOS 5.1.1 SHSH Blobs With TinyUmbrella
The second method you can utilize to save iOS 5.1.1 SHSH Blobs is using TinyUmbrella. TinyUmbrella has superiority method because it can grab SHSH blobs from Cydia servers or Apple servers. And you don't need to jailbreak your iPhone to use TinyUmbrella. Beside of the said usefulness, you can backup blobs in cloud services, like Sky Drive or Dropbox.