Vincent,
Your approach id good but somehow it it won't be effective due to unavailability of role field in ( field update option ).
If role field available in field update action then you could have set the workflow as:
Description: Set Default Prospect for Individual Customer
Business Object: Individual Customer
Timing: On create
Define Condition: If role field is not equal to Prospect
Action: Field Update
Role = Prospect ( But Role field is not available in the field update action so you won't be able to use the workflow to set the Prospect )
You should go with SDK development to set the role as Prospect for Individual customer.
Regards,
~anil