Typically that is the job of the email client and not the server. I have Outlook (non express) in a regular configuration using a really simple sendmail server, and it keeps my "sent emails" in the Sent Folder, just like any other server I use.
But you could prolly force it to ALWAYS append a CC: to email that goes throw, and have it send it to yourself, then jsut make sure you have the option "leave a copy o nthe server" for one of the options, then you always get your sent mail back, and you can manually sort it, maybe sendmail can even modifty the "subject" line when it gets re sent back to you, then yo ucan have an outlook rule automatically sort it. I have no idea how to configure sendmail to do this, but as with anything in Linux, I'm sure its possible
Good Luck!