Word has a couple default settings for captions, called heading styles
(heading 1, heading 2, etc.). Open a blank document and look in the upper
right hand of the screen for a little window with Normal in it. Using the
drop down arrow open the menu and select a heading, such as heading 1 and
click on it to apply it in your document. Open the styles menu (Format,
Styles). The Styles Menu opens. Right click on your heading style and
select Modify. Change the font to whatever you want, along with any other
formatting. Before you close the Modify Style window put a check mark next
to Add to Template. This will save your change(s) to the Normal template
(normal.dot). Close the Style windows and you are set. You can use the
same procedure for modifying any other template, except that you have to be
sure t open a document made from that template.
Since you are talking default you should make the change in your normal
template (Normal.dot).