There are many ways to save outgoing mail.
See also: ArchivingMail
FCC headers are the simplest trick. Here is an example using PostingStyles.
(setq gnus-posting-styles '((".*" ("Fcc" "~/SMAIL") ...)))
This will add the Fcc header to all outgoing mails sent from within Gnus and put them into the ~/SMAIL folder. Obviously you can split this up various files, see PostingStyles for more info on how to set a header such as Fcc for different regular expressions.
Gnus knows how to Gcc. Cc is a carbon copy sent by mail, a Fcc is a carbon copy saved to a file, and a Gcc is a carbon copy stored in a group (using the appropriate backend). One way to save outgoing mail is to Gcc them to the group active when you sent the mail. Just add the following to the group’s or topic’s GroupParameters.
((gcc-self . t))
or if you want to put it in a specific folder;i.e in this example all mails from my sas group which I respond to, is filed to sent-sas folder
(gcc-self . "nnfolder:sent-sas")