Yes it still has to go through steam. I just thought having the physical disk would be easier as i can store it and it will always be there. Which wouldn't be the case if i had a hdd failure and had to download all my steam games again.
As russ said, you can either back up your entire system, or, just back up your steam games so you don't have to download them again. To use a current game you have installed as an example (it works with all of them):
Go to your Steam library, right click an installed game and click Backup Game files.
you can either do it in one, single file, or if you wish to back it up to CD/DVD, it will split it into different files.
To then reinstall, just put in the first part, and it will be like installing any other game that has more than one installation disc - just swap when it tells you