Go to settings
Scroll down till you see General settings on the left hand side of the screen
Click on that
Scroll down to Private messaging
Select the "Save a copy of sent messages in my Sent Items folder by default" radio button
Scroll to the bottom of the page
Click the "Save Changes" button
You will never lose another message sent.
BTW
The only time you know a message doesn't get through is when you get an error message during the send phase, otherwise it was sent.
You can click on the "Require a Read receipt" checkbox before you send to get an optional read receipt fro your correspondent (they don't have to but most will)