You need to edit the MethodStub.snippet file.
On my VS C# Express 2005 this is located at
C:\Program Files\Microsoft Visual Studio 8\VC#\Snippets\1033\Refactoring
The addition is shown underlined
<![CDATA[private $signature$
{
$end$throw new $Exception$("The method or operation is not implemented.");
}]]>
I haven't tested this fully but I imagine that all generated method stubs will now be private.
Alan.
[UPDATE]
I'm going to downvote myself as the modification works well for auto-implemented event handlers but doubles up the private prefix in other situations, e.g.
private private string PvrDriveInformation()
{
throw new Exception("The method or operation is not implemented.");
}
Rats!