Outlook should ask to put incoming/outgoing messages in folders.

[ALL]

Other e-mail softwares have it! They ask before you send a message, if you
want to put it in a folder. Same thing they do for outgoing messages.

Does Outlook not have this feature or do I not know that it exists?.

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[Vince Averello [MVP-Outlook]]

There are rules for that but you can't be asked interactively for every
message.

 

[Brian Tillman]

Other e-mail softwares have it! They ask before you send a message,
if you want to put it in a folder. Same thing they do for outgoing
messages.

Does Outlook not have this feature or do I not know that it exists?.

Natively, it does not have that exact feature, but see if this helps:
http://www.outlookcode.com/d/code/setsavefolder.htm