Update: You cannot do a “solution-wide” define afaik, however the answer below is workable on a per-project basis.
You set them in your Compilation Properties or Build options:
http://msdn.microsoft.com/en-US/library/76zdzba1(v=VS.80).aspx (VS2008)
http://msdn.microsoft.com/en-US/library/76zdzba1(v=VS.100).aspx (VS2010)
see the “To set a custom constant” heading.
Update
Microsoft Documentation on Build Options
You get to the build options by right-clicking the project and selecting properties from the menu.