Do payment types really work?

I have three payment options on the checkout:

1/ Cheque

2/ EFT

3/ Paypal.

Paypal works fine, cheque and eft payments record the orders as paid.  Why is this - they are offline payments made by the customer at some point in the future.

I have tried using COD as a work around but this has the same issue.

Please can someone explain why this is before I loose the will to live.

Alternatively as a workaround - is there a way of setting the order status automatically to payment pending and delete the recorded payment?

Thanks

Gavin