Take a snapshot of the virtual machine's current state from the Snapshots window for that virtual machine.
The virtual machine does not need to be powered on for you to take a snapshot.
You cannot take a snapshot of a Boot Camp virtual machine. Snapshots rely on being able to save a known state that will not change. This is not possible with Boot Camp, in which you can boot natively into Windows in the Boot Camp partition. Once that happens, the known state would be lost and data loss would occur.