If you've already hit the 'send' button, press the 'cancel' button.
If you haven't yet hit the 'send' button, complete the message all the way up to checking which contact you'd like to send the message to. Do not hit 'send'. Instead, select the middle 'Menu' button and select 'Save to Drafts'. This will (obviously) save your message to the drafts folder.
The only way your message will move to the outbox is if it was actually SENT.
Also, if you can tell me more about what it is you're trying to do I can recommend another way for storing unsent messages.