Mail prompts me for SMTP password the first email I send
Aside from the fact Mail should remember you SMTP password once you enter it for the first time, you can set it by:


Open Mail
Open Mail preferences
Go to accounts
select the mail account whose SMPT password you want to set
In the 'Account information' tab click on the 'Outgoing Mail Server (SMPT) list
From the drop down menu at (5) select 'Edit SMPT server list'
Select the SMPT server in question from the list
Click on the 'Advanced' menu
Set Username and Password (and possibly tick the "use Secure Socket Layer (SSL)' box).


You are now set.