Yes they do in one form or another.

The early series (1962-65) were recorded on 405 line videotape for transmission and transferred to 16mm black and white film for overseas sales purposes (it's easier to sell film abroad rather than video as different companies have different standards but film can be put through a telecine machine which converts the signals to the standard required. The original video tapes were wiped to use again but the film recordings survive.

The later series (1970-74) were made and recorded on 625 line colour videotape. These were not transferred to film as far as I know but the tapes of the earlier (70-71) series were wiped. It was later discovered that Galton and Simpson had made off air recordings on a very early domestic reel to reel video recorder and these were discovered in Ray Galton's garage in the 1990s. The rest of the programmes survived on the original 2" video tapes.

Many of the programmes were released on VHS in the late 80s-90s and the first series from 1962 has been released on DVD although disappointingly there has been no attempt at restoring the pictures using modern technology. There is a process available that restores the more "live" look of video as opposed to the more jerky appearance of film which has been used on restoration of early Dr Who programmes as they are released on DVD and the first series and what's left of the second series of Dad's Army to great effect.

More info about TV archives HERE

and Steptoe and Son HERE

Cheers
Mark