It is true that more frequent rolls of Splunk indexes will negatively impact Splunk search performance. The information here is correct: http://www.splunk.com/base/Documentation/latest/Admin/Backupindexeddata#Choose_your_backup_strategy
If you happen to be using ZFS, or are storing your indexes on media that provides a snapshot capability, you can back up the entire db directory (include hot* folders and the rest of the files) from the snapshot, (then drop the snapshot when you're done).
You can also stop splunk and back up all the hot* folders and everything in db/ *except* the db_* folders, start splunk up, then continue backing up the db_* folders. The disadvantage is this causes an outage.
You could also simply back up just the db_* folders without forcing the roll command first. This will mean that your Splunk index data will not be backed up until it rolls over "naturally", i.e., based on the index configuration. The disavantage is that some of your data will not be backed up for a longer period of time. How much data would remain at risk depends on (a) how much you are indexing, and (b) your index size configurations.
If you use this last method (i.e., only back up db_* without rolling first) it is possible to configure index settings to minimize the amount of data at risk to less than 24 hours worth (which is what you'd have using daily backups anyway). This does impact search performance as well, but not as much as using the "roll" command would.