How to set default input source in Mac OS X Lion
To expand on Han's answer, here is the excerpt from the article Managing input methods in OS X


  To change your default input method in OS X and avoid having to make
  these adjustments for each application and document you open, you
  first have to be sure the setting to allow a different input source
  for each document is disabled. To do this, go to the Input Sources
  system preferences and select the option to "Use the same one in all
  documents." With this setting in place, go to the input menu and
  select the desired method you would like to have as your primary input
  source. After this is done, you can go back to allowing a different
  input source for each document, and any newly opened documents and
  applications will now use the desired primary input method, until you
  manually change it for that document.