How to set the default flag color in OS X Lion Mail.app
This can be accomplished by customizing macOS keyboard shortcuts. 


Open System Preferences, Keyboard, Shortcuts, App Shortcuts. 
Click the plus-sign (+) button below the central pane. 
In the next dialog, select Mail.app from the Application dropdown. 
Type Yellow (or whatever color) as the Menu Title. 
In Keyboard Shortcut, press something you wouldn't accidentally press as the keyboard shortcut (I chose CommandControlOptionShiftR). 
Click Add. 
Repeat the process with Yellow (or whatever other color you want that is available) as the Menu Title and CommandShiftL as the keyboard shortcut. 


Now when you use Mail, the new color will respond to CommandShiftL.