The closest I think you can get is to make and action to choose .25 as the stroke weight and give it a keyboard short cut.
Possible open up the AI preferences but i think that is risky.
You may consider changing it in the Startup file(s), if necessary by creating a path with suitable properties which is deleted at once. I am not sure exactly what applies to CS4. I am 4 behind.
It is, or was, only possible to change very few prefernces in the aiprefs file, the most important one being the default font which has later been moved out.
I wonder whether any options are offered in Workspaces.
Open, edit, and save whatever startup files and/or templates you use when you create new documents. Draw a path with the kind of stroke/fill you want as your default, AltDrag and drop it onto the Default Graphic Style in the Graphic Style Palette.
(Illustrator's treatment of default templates and settings is very cumbersome.)
Thank you very much Jet, it works.