I've read many complaints about TouchWiz 4.0. One of them being that you cannot change the default homescreen. I use LauncherPro so that isn't really a problem for me but for those of you still using TouchWiz 4.0 there is quite a simple solution. You will have to Root your phone first though.
Once that is done, navigate to your Root folder with Root Explorer or equivalent, then to the System folder and locate the default.prop file and open it with the text editor, and add this line to it:
Please note that the number you enter is has to be one less than the homescreen you actually want as your default. In this example, it will actually be the 4th homescreen that is set as the default.
Reboot your phone and you should see the effects of your tinkering straight away.