Near the top of any page of the forums there's a menu bar. Starts with "My Account". Click the "My Account" link.
Then, in the left hand navbar, click "Edit Options".
On the following page, you'll have some major topic areas. First is "Login and Privacy". Second is "Messaging and Notification"
Among the settings in Messaging and Notification you have your "Default Thread Subscription mode" that you can set by choosing from a dropdown menu. Pick your preferred setting.
Then, way down at the bottom of the page, click "Save Changes"