Personally I just generated my key offline (on a tails livecd) and backed it up to two different LUKS-encrypted USB sticks. One of those is stored at my place and another one at a trusted person, in case my flat burns down or so. The yubikey itself only stores subkeys, my master key stays on said USB sticks.
Been using this setup for about 5 years now and it's been working well for me so far. Once a year, I extend my gpg keys expiration time by using on of the USB sticks.