If you send a message to a member, you need to check the check box right under the text box that says "Save a copy in my outbox" to remember the message. If you do not, the message will not be saved and is gone forever.
There is an option to have this box checked automatically, you need to go into your message settings.
To do this check: My Messages > Preferences > Change Settings > Save a copy of each personal message in my sent items by default.
From then on, everything you send will be saved in your Outbox.
Kind of odd this is not enabled by default. Maybe Tyler can fix this?