Moving entire mail thread to a folder

Hi,

So all of my e-mail comes into my inbox, and I then file it in individual folders for each client. I use conversation view in my email apps. On Windows, I use Outlook, and what I do is I receive an email, reply to it, and then move the entire conversation to the corresponding folder. When I do this in Outlook for Windows, the conversation includes my sent message from the sent folder.

Unfortunately, Outlook for Mac and mail.app, when moving a conversation from the inbox, do not includes messages in the sent mail folder when you move them. Does anyone know a way to change this behavior?

Please note that while I understand that both mail.app and Outlook for Mac will indicate the messages in the sent folder are still part of the conversation, for system archiving purposes I need the messages physically in the same folder.

Any ideas appreciated. Thanks!