You can add an action to wp_insert_post(). The cool thing about it is the third parameter – $update, because it allows you to only set the post_format once, and you can change it later. This is necessary because the function wp_insert_post() is not only called on the creation, but also on update etc.
add_action( 'wp_insert_post', 'f711_set_default_format', 10, 3 );
function f711_set_default_format( $post_ID, $post, $update ) {
// execute only on creation, not on update, and only if the post type is post
if ( $update !== true && $post->post_type == 'post' ) {
set_post_format( $post_ID, 'audio' );
}
}
If you need this done for all of your existing posts, just create a loop and call the set_post_format() for every single one.