Creating a PSN account will not make you lose any data.
I'm unaware of any way on the PS3 to store data online, but unless if you upload it somewhere all of your data is kept on the system (or any drive you attach to it if applicable), which means that
1: Any save data associated with that user will still be saved unto the console, and will not be affected by the PSN account. Anything you have saved on your console will still be accessible, if you beat a level on a game you'll not lose your progress, if you have a world on Minecraft you won't lose it.
2: The save data is not associated with the PSN account. If you delete it off the console it will be gone (unless if you have taken action to store it somewhere else). If you access the PSN account on a different user and/or different console, it will not be accessible unless if you transfer it using a portable storage device (such as an external hard drive or a simple USB flash drive).
Remember, your PSN account and your user are 2 different things, you can have one without the other. A PSN account can be used on multiple users across different consoles, a user is only stored on one console at once. This also means that you can have the same PSN account used on both PS3 and PS4 (and any other devices that use the PlayStation Network).