I guess it's something that's turned off by default (might be my fault??? not sure) - but you can set your options easily to automatically have the 'save a copy in sent items' by going to your user profile, and edit options - then change the bottom option in the messaging options:
Save a copy of sent messages in my Sent Items folder by default
You should be able to individually do it already on every message you send by ticking the box to save the message - but I guess that will work on only that message and you'll have to do it every time you wanna save one, so best to change the option in your user prefs.
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