Apple released iOS 5.1.1 with some minor bugs fixes.Notcom the guy behind TinyUmbrella has updated it to version 5.11.00b which has support to save SHSH blobs of iOS 5.1.1.
If you have updated your device to iOS 5.1.1 then it is better to save SHSH blobs to downgrade later.
iPhone-Dev Team has released RedSn0w 0.9.11b1 to downgrade from iOS 5.1.1 to 5.0.1 .
If you want to downgrade to a lower version of firmware then you need to save SHSH blobs.
Download TinyUmbrella 5.11.00b for Windows & Mac OS X