How do I set the default colour of hyperlinks to blue?

Select the word that is linked. Press Command+T to launch the Font Tool. The left drop-down button on that toolbar is for underlined text. Choose color from this menu. Pick your hyperlink color, and it will change in your document.

Now, while the hyperlinked word with its new color is still selected, you can update the existing Link character style, or press + to create a new one from your selected text. Change the name to Blue Link, press return, and you are done. The next time you need a blue hyperlink after you have added one, select the hyperlinked word, and choose the Blue Link character style. Also useful, if you just want a blue underlined word that is not a hyperlink.

To make the hyperlink color default to blue, you will have to create a template that has the Character Style Link changed to blue. There is no setting you can change otherwise.