MacOS – Can’t see drafts folder in Mac Mail

I have a recent MacBook Pro that was running OS X 10.6 but was recently updated to 10.7. My work email switched from Gmail to Exchange and they said to use the built-in Mail app. Overall, I like it, but I can't figure out how to see my drafts folder. According to the help, it only shows up if I have something in it, but I tried composing a message and saving it, and I still don't see my drafts folder in my list of folders. What am I supposed to do about this?