1. Usually the Open step will be the first status upon creating an issue. Click on it to edit it's properties:

 

2. Click on the Create Issue incoming transition:

 

3. Click Edit to set the new destination step:

 

4.. Select you new Destination Step, and then click Update to save it:

 

5. This is what the result should look like, and now when a new issue is created it will go straight into the In Progress stap.