It always defaults to Times New Roman. Now suppose you want 2 defaults. One with Times New Roman and another with Arial. This is a very powerful feature that most users are unfamiliar with. Most people I know just create a document, save it and use it as a template.
Word provides an easier way.
To create a new template, there are 2 ways to do it. The easiest way is to Click File, New. A window opens to choose the type of file to start. Clicking the icon at the left of the toolbar will not work the same. In the dialog box, select Template.