The default value has always been 36x36 and in CS3 and previous versions of fireworks, you could control the grid from view> grid> edit grid
Now you can't even do that!
You can show and hide grid details as required in the CS4 with the window toolbar to the right of the screen under window>image editing > view options or ctrl+alt+g
I don't know who the muppet was who defined the options of the menu bars but they obviously have no clue on features that are valuable to users. 7 years of using this product and no addition of saving the default grid size... meh.
Anyhoo, I did receive a reply on the adobe support from David Hogue (god bless the guy!)
Of note for Vista the directory is: C:\Users\<Username>AppData\Roaming\Adobe\Fireworks CS4\Commands
And it works a charm.
Actually I did think of a way to do it before I went to bed last night. Create command in CS3, copy .jsf file to CS4. I may try it later and see if it works.
Damn you adobe for taking away easy grid change in the View drop down and not allowing command history to be used for command scripts!