Here's a really simple question: Who saves Instant Messages?
Some of us don't even know how.
You can set any of the IM programs to keep an IM log, many businesses require it if IM is used for company matters. Also, I believe that, like emails, they can be had via subpeona of the ISP or whomever maintains the IM systems server (i.e. AOL, Yahoo, etc).
Lots of people do. I have done it to save a conversation I want/need to remember. Our various offices at work use IM as a communications tool, and I often paste information into a document if I need to hang onto it.
The point is that it's very easy to do and people should bear that in mind when IM'ing.