Backing up the preloaded OS
On recent ThinkPads even if you don't get the Recovery CDs and want to remove your Predesktop Area, you still have a good chance to get a means of restoring the original state of your ThinkPad later. The only prerequisite is that you still have the preloaded system. (If not, please look at: Recovering without Recovery CDs.)
If you have your PreDesktop Area intact, its a good idea to make a set of Recovery CDs They come in useful for a hard disk upgrade or hard disk crash.
Coverage of this approach
The original installation includes all the necessary setup files needed to install the system in its original state. Hence this approach - if done properly - leads to the same result as Recovering from Recovery CDs, just with a bit more hassle. Advantage is the customizability of your selfmade recovery media and the enhanced influence you have on the (manual) recovery process.
Fabrice Bellet describes an (untested!) way to create a bootable DVD-ROM when your ThinkPad is only running GNU/Linux. This DVD-ROM boots into the "IBM Product Recovery program". That program should allow you to "reformat your hard disk and install Windows XP, device drivers and preinstalled applications".