We give a detailed and improved presentation of our recently proposed formalism for non-linear perturbations in cosmology, based on a covariant and fully non-perturbative approach. We work, in particular, with a covector combining the gradients of the energy density and of the local number of e-folds to obtain a non-linear generalization of the familiar linear uniform density perturbation. We show that this covector obeys a remarkably simple conservation equation which is exact, fully non-linear and valid at all scales. We relate explicitly our approach to the coordinate-based formalisms for linear perturbations and for second-order perturbations. We also consider other quantities, which are conserved on sufficiently large scales for adiabatic perturbations, and discuss the issue of gauge invariance.