Open the Image Capture application, and you can change the setting at the bottom-left of the window. It seems to get increasingly hidden with each OS release.
This used to be the only place to change the setting—which was ridiculous because virtually no one ever used Image Capture (especially because iPhoto opened by default). But to Apple's credit, you can now also change this preference in Photos. Of course, as the previous poster pointed out, you have to actually wait for Photos to finish launching. But at least it's there now!