Alternatively, the menu item is develop/set default settings.
As said, this takes all settings of the current photo, so take care of it( best is to hit reset and then make the only change you want).
If you feel that it still doesn't stick, you may have the defaults specific for the ISO setting or camera serial # - and anyway defaults are specific to camera model.
Bottom line : if you got more than one camera or use ISO-specific defaults settings, you'll have to make it more than once.