Currently, my Mac is backing all my data up.
At this time, I working ... Is it ok, when I move/change files during backup ?
Or, I will have side-effects later ?
It will potentially affect the backup and if it does there will be consequences.
Most of the time you should be OK as you and the backup process won't be accessing the same file.
One (minor) problem or annoyance could be if the backup has dealt a file and then you modify it before the whole process is complete. You then have a problem with that file and go to restore it - you won't have the latest version in the backup. Now depending on the frequency of your backups and the nature of the change this could be an annoyance (you've lost a minor edit) to a problem in that you've lost nearly a weeks' work.
A more serious problem could occur if you move a file during the backup. The process notes where it is, you move it, the backup then can't find the file to actually backup and it's not included at it's new location. The backup will fail, but it might not tell you that it's failed - just log the problem and move on. If you don't check the logs you wouldn't know. If you then go to restore that file later it's not there.
Now all this depends on the backup system and how it handles these cases. On a day-to-day basis for incremental backups it's probably OK to carry on working. For full backups (which I assume this is) it might be better to leave the machine to get on with it so nothing goes wrong.