I exported all contacts to SD card, deleted all contacts in the phone, changed the default location for new contacts and then imported the file I had just created with the export command.
Just re-read your post and saw that you may be asking specifically about the default location.
In Contacts select the menu (three lines on left of the screen above the first contact name)
Select Manage contacts at the bottom of the screen
The option to change your default location is the last option in this menu.