If you dont archive them, they dont save. Macs arent PCs, by the way. They are two totally different types of computers.
Any way, if you can (I'm not familiar with running Macs), run a search for Yahoo! in files and folders. Note its location in the directory. Find it. Open it, then Messenger, then Profiles. Find your YIM ID, open that folder, then the archive folder inside it.
Since you dont archive, there should be nothing there.