Save a sent message in a different folder

If the reply messages you wish to file are governed by the Mailing List Manager, there is an option to "Also move messages I send to the list to this folder", which works well if you've designated a folder to move the messages to.

If the reply messages are not to lists, then create an Outgoing rule.

Tools->Rules->Outgoing tab:

*If any criteria are met

IF Any to recipient contains (enter address or name)

THEN Move Message (select folder)