To find the location of where the dbx files are stored, open OE.
Right click on any folder, inbox, outbox, deleted and choose properties.
It will then give you a screen such as this:
Note the lil hex string thing wont be the same, nor will the user name such as it say steve on mine.
But that general folder is where it stores ALL messages.
Note: If your running Windows 2k or earlier, it will be stored here:
%WINDOWS%\Application Data\Identities\{6E4325EF-FC46-46E7-A848-83A832F88DEF}\Microsoft\Outlook Express
Againt he lil string wont always be the same.
As for keeping older ones, i suggest making a new folder. Moving all contents of the current sent items into it. OE has a feature that compresses messages automatically so size shouldnt matter.
And make sure in the Tool - Options - Sent tab that the very first check box is checked. "Save sent messages"
Who knows how it could have got unchecked if it is.