I'm not too clear on what you mean, but here's this: If you respond to a message, it doesn't save said message.
If you, let's say, do this:
<Pm hampa>
lawl om ma gawd u iz cool
<message sent>
it will count as a sent message.
Hope that helped.
Not too sure as to how this helped, but i'll try to clear up any confusion.
1) Click here (to edit your options).
2) In the second tab ('Messages & Notification') there should be a box that says "Save a copy of sent messages in my Sent Items folder by default".
3) Click that, and scroll all the way down until you see the "Save Changes" button.