If you click on your notification bell thing to take you to your messages and replies. At the top of your list of replies to your comments/post the first option should say "create a message" where you can specify a user to send a direct message. Then it will show up under "sent" and replies will be in "messages"

If you click on your notification bell thing to take you to your messages and replies. At the top of your list of replies to your comments/post the first option should say "create a message" where you can specify a user to send a direct message. Then it will show up under "messages" in the same bar there for you to get back to.