It should be easy to do, although personally I think it sounds like a bad idea.
Note that they are already linked via a link in the preview window. If you receive a reply to a message, there is a yellow bar that says, "This is a reply to one of your messages." and there is a blue link that says "Show Message".
The reverse is true in your sent items, where it says, "This is your reply to another message. Show original."
But if you want to try it anyway...
Tools > Rules... > New
I believe your new criterion would read something like...
if
(Folder) (is) (Sent Items on My Computer)
then
(Copy Message) (Inbox on My Computer)