On my iPhone, I can go to Settings > Mail > Any Account > Account > Advanced > Sent Mailbox and select which folder I'd prefer to have my Sent mail stored in. How can I do this in Mail on a Mac? I am trying to change which folder the sent messages are stored in when saving them to the server.
In Mail select the mailbox you want to use from the list on the left and navigate to the menu Mailbox > Use this Mailbox For, then choose the appropriate purpose from the menu:
I've faced this issue in the past.
You want to be sure to be using a single folder for Sent Mail across all devices and email clients. If you use webmail at all, there is a standard arrangement for inboxes and sent items. Christian explains the issue well:
I would recommend you map Apple Mail's Sent to "Sent Mail" as used by your IMAP webmail client and do the same with your iPhone.
The same system applies to Drafts, Trash and Junk. Bonus tip: don't use IMAP for drafts as they drafts will multiply across all your computers, becoming unmanageable (up to 25 copies). Instead use a local folder on each of your computers. It's possible that the drafts multiplying like rabbits bug was fixed some time after Apple Mail 4.6 (OS X 10.6.8) but I have no confirmation of a fix.