Not sure that my reply will help you very much, but just to explain how SMS works on these phones. What you see when you enter Messaging is a list of "conversations" so under each name you will see a conversation between them and you, and that is why you always see everything written by both yourself and your friends.
I actually haven't tried the built-in one cause I am used to replacing it with something else, but if you try something from the Market like either Handcent SMS, Chomp SMS or GoSMS then maybe those are better for you?
I personally use GoSMS with an iPhone theme so the conversations look just like on the iPhone. Green bubbles are what I have written, and grey bubbles are what others write to me. Also with GoSMS you can get a folder view of some kind (although I haven't tried as I don't use/need that)
Hope someone else can help you further though, as I am a bit unsure of what you actually want to achieve, but I'm guessing you want things a bit old-school so that you have an Inbox folder with only messages from your friends, and another Outbox where you see yours? Even so, I am unsure how to get that. But really, once you get used to this "conversation" thing with SMSing on Android phones, I'm sure you'll find that it's quite great, actually
In conclusion my advice would be to first and foremost look at the Settings in the built-in Messaging app to see if you can find what you need, and if you don't, then go to the Market and try the other Messaging Apps I mentioned (Handcent, Chomp SMS, GoSMS etc etc) and see what options they have.
