How can I make sure I don't lose any of the games I've purchased?

You should log into your account and copy all of your Steam Keys and either redeem them on Steam or save them on to your computer. You'll have until 11:59pm ET on February 20th, 2017 to do this.

What happens if I don't copy all of my Steam codes?

We'll also be sending out an email with your Steam Keys to the email address that is associated with your account after February 20th. This will include any Steam Keys belonging to gifts that you have purchased.

This method isn't 100% fool proof as you may no longer have access to your email address or anti-spam software may flag the email incorrectly as spam. You should still go into your account and manually copy all of the Steam Keys you've purchased.