Go to your User CP.
On the left column under Settings & Options, select Edit Options.
Scroll down the new page to the area titled Private Messaging.
The last choice in that area reads:
"When sending private messages the forum can make a copy of the message in your Sent Items folder.
Save a copy of sent messages in my Sent Items folder by default "
Make sure the check box is checked off to save them.
Hope that helps.....
-Greg