When you send a PM, uncheck the first option in "Misc Options" which appears just below the PM's message body.
Edit, oh, sorry, you asking how to change it as a default. I'll check that out.
Checked it out: Ok, there is not an option that can be "turned on" to let you save a default preference on that item. Sorry.
For now, you'll have to visit your sent folder
, select all and delete them.