Just arrived. You`re nearly all there. The simplest solution (For Word 97 - 2002) is as Soy says - Open Word FORMAT > FONT make changes and click the DEFAULT button at the bottom left to make changes to the normal.DOT template.You can use this method for all the main format options in FILE > PAGE SETUP too.
The Normal.DOT template is located in c:\Documents and Settings\ [YOUR IDENTITY]Application data\ Microsoft\ Templates unless they changed it for Word 2003. You need to show all hidden files: START > CONTROL PANEL > FOLDER OPTIONS > VIEW tab > ADVANCED and tick the appropriate box.
Having located normal.DOT and checked it`s location you must open word and then from there FILE > OPEN the template. (VoG - If you double click it from Explorer it opens a blank document based on the existing Normal template) Then as VoG suggests you can make wholesale changes to the normal.dot template - Margins, Fonts, Point Size, paragraph formatting etc. save the template and close and restart word to enforce them.
Hope this helps!