Step 1 on my list is probably what you are looking for and the best I can do.
Also Visio has a macro recorder that would probably work. I use visio 2007
now, but this should work for earlier versions. I wish I knew an easier way.
It only makes common since that the user of visio will always want visio to
open certain stencils.
There are 4 things I do.
1. This is the real kicker - Open all the stencils you use or expect you
may use - for me that is about 12 stencils. Then in the shapes window on
left, right click on each stencil's title bar and click save as. Save each
one to your my shapes folder or create a special folder for them. When you
open a drawing, just click file, shapes, open stencil, (add that button to
your toolbar) and then browse to your stencils and use shift + click to
highlight and select all of the stencils and then click open. Voila! You
just opened a bunch of stencils in one step! For me that would take 12 steps
opening them individually not to mention the time it takes you to find them
all.
2. When I find a shape I use often, I right click on it and add it to the
favorites stencil which is stored in My Shapes.
3. Use step 1 for stencils that you use every once in while, and create a
seperate folder for them - it is more efficient to find them later - for me
anyway.
4. Because I deal with multiple clients, I have a template visio file which
contains the standard shapes, text boxes, etc, that I may use on any new
diagram that I create - I actually move the shapes to the drawing and save
the template.