Copy templates/_master/snippets/ExpressCheckoutShippingMethod.html to your default folder, open it up, change it to this:
Basically all you're doing is adding "checked" to the <input><li>
<label id="shippingMethod_%%GLOBAL_VendorId%%_%%GLOBAL_AddressId%%_%%GLOBAL_ShippingQuoteId%%"><input type="radio" name="selectedShippingMethod[%%GLOBAL_VendorId%%][%%GLOBAL_AddressId%%]" id="shippingCheck_%%GLOBAL_VendorId%%_%%GLOBAL_AddressId%%" value="%%GLOBAL_ShippingQuoteId%%" checked/> <span class="ShipperName">%%GLOBAL_ShipperName%%</span> %%GLOBAL_TransitTime%% <em class="ShipperPrice ProductPrice">%%GLOBAL_ShippingPrice%%</em></label>
</li>
Do the same for ShippingProviderItem.html (i.e. put "checked" in the <input> label, file contents are different!) and you've sorted multi-page checkout too.
Simple as that
