You can create a VBA macro and attach it to the "Application.ItemSend" event.
Here's some macro code you can put in there that will ask you if you want to save it to the "Sent" folder, or just delete it:
Private Sub Application_ItemSend(ByVal Item As Object, Cancel As Boolean)
Dim mailItem As Outlook.mailItem
Dim strPrompt As String
Dim response As VbMsgBoxResult
strPrompt = "Do you want to save this email in the Sent folder?"
response = MsgBox(strPrompt, vbYesNo, "Save to Sent folder?")
If (response = vbNo) Then
Set mailItem = Item
mailItem.DeleteAfterSubmit = True