Yes, you can!
It's true that Yahoo! Mail now automatically saves an email you're working on as a draft, in case you happen to lose power or lose your connection to the internet. It's also true that Yahoo! Mail removes an auto-saved draft from your Drafts folder when you send it. But you can block that behavior and both Send and Save a message as a draft -- thus eating your cake, and having it too. ;o)
Here's how:
Hold down the shift button:
That's:
Shift + Send
Or...
Shift + Ctrl + Enter (on your keyboard).