This is pretty easy, but core adminhtml template hacking though. Will be overwritten on any update!

in file: app/code/design/adminhtml/default/default/catalog/product/edit/websites.phtml line 46 (input field)
add:
< ?php if (!this->getSku()): ?>checked="checked"< ?php endif; ? >)

Careful, remove the spaces after the „<"?php to make it work...!

This checks weather the product already has a SKU or not and if not (so it’s a new product) it selects all websites on product creation.