In SQLyog COMMUNITY you have an export option in the database and table menu's (and context menu's)-
For instance right-click a database, a dialogue opens where you can select what tables to back up at the bottom.
In SQLyog ENTERPRISE there is a more advanced backup tool (in the 'powertols' menu). This one gives options to divide the backup into a file for every table, use a timestamp for naming the backup file and more.