If I go to my PM inbox there are all the messages I've received, if I go to Sent Messages there's nothing there. Is there an option I have to select for the forum to keep a record?

There is actually,

When you're typing your PM, and you want to sent it there are a few options. Just click on:
'Add a copy of this message to my sent items folder'

And the sent PM will apear in your Sent Messages box, once you sent the message. :)

Hope this helps!

No way to set that as default though?