I have only a few messages when I get an email that someone tried to send one and my box is full. I often try to send one and get the message that the message I just spent time crafting cannot go because the user's box is full. Am I the only one frustrated by this?

Yes

I think the problem is that if you don't check your PM box weekly it'll show that there aren't any massages. The reason is that it will only show items from the previous 10 days.
In the date period option click on "Since The Beginning" and see what pops up.
I did and was surprised to see what, or how much, was still there.
Check your Inbox, Outbox and Message Tracking. Delete anything you don't want to keep. In the lower right corner of the PM area is an option for "Empty PM Box". I believe that'll dump everything in all the boxes.

Also, you must clean out your sent items as well. They also count against your quota. I usually choose not to save a copy, when sending, just to avoid this.