The Outbox folder only stores messages that have yet to be sent. Once a message has been sent, it is uploaded to the Sent folder, provided there’s one configured under Settings → [Account] → Folders → Sent folder and Settings → [Account] → Sending mail → Upload sent messages is enabled.
K-9 Mail currently doesn’t support creating new folders. However, you should be able to use another email client or the web interface of your email provider to create a new folder. K-9 Mail will pick up that new folder when you refresh the folder list and then allow you to use it as the Sent folder.