Thanks for the reply. I've been doing that (using Generate Filter and Sort-> Generate sorting filter for Column Sorting) and that actually works quite well.
Some form of automatic default "ORDER BY <primary_key> DESC" might be nice, but it's not really a priority for me now. I'm happy enough for this thread to be closed off...
If you sort the column visually by clicking column header two times, the sort order when Generate Filter and Sort-> Generate sorting filter for Column Sorting. Then when the filter has been applied it will remain between sessions and even in the list of last used filters in the funnel icon drop-down. This way you can set individual filters for each of your tables and have them preserved.
Despite the above I assume you are looking something more automatic?