Account Settings | Copies and Folders | "When sending messages" | change the folder location

what folder location should I use so that all emails sent go to a same folder,

You could simply use the unified view of folders.

On the toolbar > Folders > Unified.

Wherever you want to save them. Choose any one of your accounts, or Local Folders if you want this location to be independent of any particular account.

I file my messages by topic so my sent messages are saved alongside other messages they relate to. I can't imagine having all sent messages in one big heap is particularly useful. But View|Folders|Unified (or a Saved Search doing something similar) might be a useful alternative to actually moving messages from folder to folder.