Configuring preferences and options in Outlook.com
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.
Nope. On my side "Save Sent Item To" isn't in the Option tab.