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)