Whenever I buy a PSP game from PSN I copy the game and .rif to my computer's hard drive so I can swap it out easily. If you want to be extra secure, do that and copy it to a flash drive too! It's unlikely you'd lose both copies at the same time. As long as you have the .rif you don't need to sign into PSN to play. But if you just like the feel of a physical copy, there's nothing wrong with that.