NOTE: Canonical has fixed this issue with the release of 10.10
Before anything else make sure the theme you wish to use is located in "/usr/share/icons/" this may not be absolutely necessary but I since you're setting a system default its best to do so.
Step One - Set the System Default Cursor Theme:
To change the cursors edit as root the index.theme file using the following command "gksu gedit usr/share/icons/default/index.theme"
Change the line "Inherits=themename" by changing the current theme name to the name of your desired icon theme. Logout and login again and your new cursor is in use.
Step Two - Set gconf to use the desired theme:
Use the command "gconf-editor" then navigate to desktop >> gnome >> peripherals >> mouse and then edit the line cursor_theme and using the actual folder name of your cursor theme.
Step Three - Set Compiz to use the desired cursor theme:
Open up the CompizConfig Settings Manager in the control center and under General Options set Default Icon to the desired Icon Theme.
That's it, a bit of a PIA but it works and if you change your Cursor settings you will have to adjust all this as well, unfortunately.