Outlook doesn't do this automatically but you can use an addin for this;
http://addins.howto-outlook.com/ivasoft_unisent
or
http://addins.howto-outlook.com/lucatec_mask

You didn't mention WHICH type of e-mail accounts you are using.  If they
are all POP3 or Exchange accounts, Outlook will aggregate all POP3 and
Exchange accounts under one message store, so all sent items using that
message store are recorded in that message store's Sent Items folder.
Because of the aggregation of same-type accounts, you will need to use
rules to separate them based on your own criteria.

Create seperate Sent Items folders for each account, like "Sent Items -
<account>".  Then use a rule "check messages after sending" to detect
through which account a message was sent and move that copy to the
appropriate folder.