Do you have the box checked for "Save a copy of each Personal Message in my outbox by default" in your Personal Message Options?
To get to "Personal Message Options", look at your profile and then look at the column on the left. The last item under "Modify Profile" is "Personal Message Options." Click on this and it will take you to the page where you can check the box for "Save a copy of each Personal Message in my outbox by default".
If you don't have this box checked yet, that means that with every private message sent, you would have had manually checked the box "Save a copy in my outbox" under the text message box every time you sent a PM in order for it to show up in your outbox.
Please let me know if you need further help or more detailed instructions.
Thanks! It worked.