There is an Additional Options box at the bottom of the PM form, and there is a checkbox you can select to have the PM saved to your Sent folder or not. You can control the default setting by going to the Edit Options link under Settings and Options in the Control Panel on the left hand side of your screen.
Interesting thing is that my default setting is to NOT have sent PMs saved to my Sent folder, but in the last few days they've been getting saved there anyway. Not sure why.