Hi Robert,
I assume you're using a static IP interface configuration on your untrust interface. In that case, yes, you'll need to set up a static default route to point to your upstream router. Or, you can use a dynamic routing protocol such as OSPF if you like.
The basic syntax is:
set route 0.0.0.0/0 gateway 5.5.5.5
Replace 5.5.5.5 with the IP address of the router interface that your SSG's untrust interface connects to.
You could also optionally set up your untrusted interface to get its IP configuration (and its default route) via DHCP, if your upstream router provides that service.
Remember, the SSG is a firewall, but it works like a router in many ways.