You could turn off the option to save sent messages then create a second rule to move everything to the sent folder - first rule would not have stop processing enabled.
The other option is a macro that moves the messages - or set the folder when you send the message - it's on the Options tab. Recently used folders will be on the menu (i haven't used it on this mailbox.) If you are moving new messages to a specific address, a macro can open the form, set the save to location and even address it. A custom template can do the same and be pinned to the taskbar or stored in the Drafts (or other folder) for easy access.
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If you are moving replies to the folder with the original, Outlook has an option to save sent messages in the same folder as the original. Conversation view shows the messages in the thread and leaves the sent message in sent folder.