Then choose copy and select the USB flash drive as the destination. Open borderlands 2 and select the file that is named according to the current level you are in. Here you should see a list of all your games. To do that, go to settings > system > storage > Hard Drive > Games and Apps.
What you will need for this is a USB flash drive, a PC, Xbox 360, Gibbed and Horizon mod tool. In order to mod save files that exist in your Xbox console, these files need to be accessible from your PC.