Someone asked me about this awhile back and I forgot that besides being able to save a copy of individual private messages when you send them, you can also go into your profile and set your preferences so that each time you send a PM it saves a copy in your outbox.
Go to your profile, then click on "Personal Message Options." You'll see the box to check there. You can also have it notify you each time you log on to the board if you have messages and send you an email if you want.
