To get TinyUmbrella, a simple google search would definitely lead you to it's official blog, with download links obviously there. It's not hard to get it without asking from fellow members here, isn't it?

To save SHSH blobs, connect your iDevice and run TinyUmbrella, then select your device and hit Save SHSH. This will allow TU to connect to Apple server and retrieve all currently available SHSH for your device.
For example, currently Apple is signing for iOS4.3.5, iOS5+ (all beta versions), so in the end you'll get the SHSH for iOS4.3.3 and iOS5+. For versions which Apple had already stopped signing, you WILL NOT GET THEIR SHSH.

But there may not be 100% case. One exception is that you had jailbroken your iDevice before, and Cydia had automatically saved SHSH blobs for you without your awareness.
For example, you jailbroke your device on iOS4.1, once open Cydia and it save your iOS4.1 SHSH blob automatically on it's server. Some time later, Apple announce iOS4.x, you once again open Cydia during this time, Cydia then helped you save the new version iOS SHSH automatically. All the saved SHSH blobs on Cydia server can be found like this:

If this is the case for your iDevice, you can:
1) Connect your device to PC and run TinyUmbrella.
2) In TU, go to Advanced tab, check on the option "Request SHSH From Cydia".
3) Hit Save SHSH and all your SHSH on Cydia server should be saved on your local drive.