How to change a class' default weapon slot?
Solution 1:
You can enable the option to remember your last used weapon. As I recall, it's in the Advanced Options menu.
Still, the first time you spawn during a map, you'll have to manually switch.
On a side note, the default item is always your primary weapon. That might confuse people who play Spy because it defaults to your knife... but if you've ever looked at the Spy's slots, his revolver is his secondary weapon.