There is a RegKey for this:
Keep in mind that although all other keys in AllFilesystemObjects are REG_SZ this one has to be a DWORD. The value for "always copy" would be 1 for "always move" it would be 2, and "create shortcut" 4. In this case decimal or hexadecimal does not make a difference as it is the same anyways.
The change will take effect without reboot, so you can immediately test it.
There is also a tool that does this called "Drag'n'Drop Editor" whichs features later were taken over to WinAero Tweaker.