If you start a new message, then click on the "Options" tab in the new message, there is a "Save Sent Item To" drop down menu, which would allow you to save the sent item where you choose. But it's clunky if you have a large set of folders and subfolders to navigate through.
Alternatively, when you want to send a new message and have it saved in a specific folder, go to the folder where you want your sent message to be saved, and "Reply" to an existing email in that folder (you may need to do a little cleaning up of the addressee, title and body, but quick enough). If you have the "When replying to a message that is not in the inbox...." option clicked, then your new "Reply" will be saved in that folder.
What I would much prefer is that you could automatically direct that any Sent item, be saved in the folder that you had open when you created the message.
Like the alternative above, but without having to go through the "Reply" rigmarole.
Lucky I don't design Microsoft products!!
:)