I don't know that I can recall having to save more than one draft at a time. I have never had a single draft be deleted before I could finish and send it though.
How soon is it deleting them?
If it is doing a while after you save them, you might have "auto-erase" enabled on your phone.
Either disable it in the Messaging Settings menu, or when you have the draft open, hit Options, and then Lock.
The first will stop your phone from erasing messages automatically, the latter will lock the draft and if you "Erase All" the message will be kept as well, so you don't have to worry about accidental deletion.
This seems like it should do the trick for you. I never turned on the Auto-Erase function anyway, so I have never had the problem.