Where is the SMS "Drafts" folder on the Xperia Play?
There's no drafts folder per say, when you access your SMS APP, the conversations list appears:


If a draft is present on any conversation thread, you will see "draft" written in red. Tap and you're back on your draft.
If it was an SMS with no conversation thread, it is presented the same way.


Check your Phone's manual, page 39, where it reads:


  If you exit a message before sending, it gets saved as a draft. If the message is part of a conversation, the conversation gets tagged with the word Draft.