I've come up with a solution using the init.m initialization file. I put the following lines in that file, which will set the default audio output to HDMI if it is connected, and built-in audio if not. I define the functions so I can switch if I connect/disconnect HDMI while Mathematica is running. Note that this can be defined to select either DisplayPort or HDMI by using the pattern "DisplayPort"|"HDMI" instead of just "HDMI". I'm posting here in case anyone else needs this capability.

(* Set default audio device to DisplayPort or HDMI if connected *)
resetAudio[] := $DefaultAudioOutputDevice = "Built-in Output";
setAudio[] := $DefaultAudioOutputDevice = First[Join[Cases[$AudioOutputDevices, "HDMI"], {"Built-in Output"}]];
setAudio[];

Thanks, that does seem to work but doesn't really solve the problem, since it requires changing all audio output cells every time I connect to a different device (this is on a laptop that I sometimes use in my office or on the bus or train with the laptop speakers or headphones, and sometimes in a classroom with HDMI). If I set it to "HDMI" and then try to use it without an HDMI device connected, I get an error until I change the setting.

What I'd really like to find is an option to just use the default OS X output device like every other application. Ideally $DefaultAudioOutputDevice would follow the OS X system settings, and not default to the built-in output (internal speakers for a Mac Book Pro).