for whatever reason the sent items box does not save messages that you have sent by default at least that has been the case for me and maybe a few of you as well...
you need to go into the user control panel for your handle on the site (easiest way is to click on private messages at the top right of this page)
once their navigate to the left hand side under the "Settings and Options" list click on "Edit Options"
under the
Messaging & Notification section look for this
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
check the box and save changes
you should be good to go