no worries, the default setting here is not to save the outgoing pms
but you can check this: User CP/Edit Options/Messaging (maybe you have to change the style what u use from old bhw style to another, if ya don't see the option), so if you want to save your outgoing pms in the future tick the box and hit save or you can adjust it manually before you send your pms, but you have to do it one by one this way
hope it helps