With the nature of my home business, this would be best.

I didn't find an option for setting the urgent option to stay marked by defualt.
Closest thing I found was creating a Template, but it adds more steps than just clicking on urgent box. So, unless you wanted template to do more doesn't seem that would help.

Used template editor to create Urgent template.

Title urgent
set Urgent = "Y"

But then to use it requires following steps.
Shift-F7 (open new message with template)
select urgent and click open.
Then has a message asking if you want to just run template without opening message.
Just click OK.
Then new message is opened with the Urgent Checked.

There are also options to create templates for reply messages.
But that is only thing I was able to quickly find.
So, doesn't seem to be a solution unless you where having it do more than just set urgent box.