Tick the box that says something like 'save a copy to sent box'. I think you only click it once and then it does it continually. Someone chirp up if I am wrong with this please.
I did that on all three, but still no joy?
OK, go to preferences in messages and tick the box 2nd from the bottom. Here is sort of what you are looking for
Honda-SOHC » Personal Messages » Change Settings
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Messages
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Preferences
Personal Messages
From this page you can change a variety of personal messaging options, including how messages are displayed and who may send them to you.
Display personal messages:
Show most recent personal messages at top.
Receive personal messages from:
Notify by email every time you receive a personal message:
Show a popup when I receive new messages.
Save a copy of each personal message in my sent items by default. Remove the inbox label when applying another label