1. From the Configuration page, click Business Rules
2. Select Email Options
3. In the When an email is sent to a constituent... section mark the Automatically create an action for that constituent checkbox

In version 7.50.638 steps are

1. From the Configuration page, click Business Rules
2. Select General Options Under the Constituent Options heading
3. In the When an email is sent to a constituent... section mark the Automatically create an action for that constituent checkbox