If you mean, before you next do a refresh, is there any way to "back up" any work first (ie. objects in Sandbox but not production) what you want to be looking at is the METADATA API. Metadata is the code that defines most of the structure and configuration in Salesforce, and you can download it from an org over the API, it's a big collection of XML files.

The easiest way to explain it would be to suggest getting the force.com IDE, in which you can create a "New Force.com Project" and select to download the metadata for all your standard and custom objects (by default I think you also get classes, pages and triggers). How to do this is all well documented on the internet.

Once you have this lark downloaded to your machine, go and find the object file for the custom object you want to preserve, it will look something like this, but much longer (as there is a lot of data even in the simplest objects)

<?xml version="1.0" encoding="UTF-8"?>
<CustomObject xmlns="http://soap.sforce.com/2006/04/metadata">
    <actionOverrides>
        <actionName>Delete</actionName>
        <type>Default</type>
    </actionOverrides>
    <actionOverrides>
        <actionName>Edit</actionName>
        <type>Default</type>
    </actionOverrides>
    <actionOverrides>
        <actionName>View</actionName>
        <type>Default</type>
    </actionOverrides>
    <deploymentStatus>Deployed</deploymentStatus>
    <enableActivities>false</enableActivities>
    <enableFeeds>false</enableFeeds>
    <enableHistory>false</enableHistory>
    <enableReports>true</enableReports>
    <fields>
        <fullName>Invoice__c</fullName>
        <externalId>false</externalId>
        <label>Invoice</label>
        <referenceTo>Invoice__c</referenceTo>
        <relationshipLabel>Line Items</relationshipLabel>
        <relationshipName>Line_Items</relationshipName>
        <relationshipOrder>0</relationshipOrder>
        <reparentableMasterDetail>false</reparentableMasterDetail>
        <type>MasterDetail</type>
        <writeRequiresMasterRead>false</writeRequiresMasterRead>
    </fields>
    <fields>
        <fullName>Line_Item_Total__c</fullName>
        <externalId>false</externalId>
        <formula>Unit_Price__c * Quantity__c</formula>
        <formulaTreatBlanksAs>BlankAsZero</formulaTreatBlanksAs>
        <label>Line Item Total</label>
        <precision>18</precision>
        <required>false</required>
        <scale>2</scale>
        <type>Currency</type>
    </fields>
    <label>Line Item</label>
    <nameField>
        <label>Line Item Number</label>
        <type>Text</type>
    </nameField>
    <pluralLabel>Line Items</pluralLabel>
    <searchLayouts/>
    <sharingModel>ControlledByParent</sharingModel>
    <validationRules>
        <fullName>Validate_Quantity</fullName>
        <active>true</active>
        <errorConditionFormula>(Quantity__c &lt;= 0)</errorConditionFormula>
        <errorDisplayField>Quantity__c</errorDisplayField>
        <errorMessage>You must order at least one item</errorMessage>
    </validationRules>
</CustomObject>

If you save that file away somewhere, and once you have done a Sandbox refresh (and then refreshed the project in Eclipse) if you copy those files BACK into the object folder, you will find, once correctly synced, that the custom object and all its fields and settings are now back and safe in your sandbox! Getting some more complicated permissions stuff like permissions sets takes another level of metadata scraping, but this should get you on the road to saving and restoring your custom objects.

Saving the meta data of an object and it's fields can be a good way to backup/version control them as well.