No you're right - there's no HDFS-level configuration. You'd have to set the storage format each time you operate on some data. Imagine the damage that would be done if every file was automatically converted into Parquet. All the temporary files created by applications, any Hive/Pig scripts and any lookup files would be ruined.
To save the output of a Sqoop command into Parquet:
sqoop import --connect JDBC_URI --table TABLE --as-parquetfile --target-dir /path/to/files
will write the data into Parquet format.
There's no way to do this with a copyFromLocal.
To move data that's already on the HDFS into Parquet, load the data into an external Hive table in its original format, create a Parquet table and then load the data into it, i.e.
//Overlay a table onto the input data on the HDFS
CREATE EXTERNAL TABLE input (
id int,
str string
STORED AS <the-input-data-format>
LOCATION 'hdfs://<wherever-you-put-the-data>';
//Create a Parquet-formatted table
CREATE TABLE parquet (
id int,
str string
STORED AS PARQUET;
//Write your input data into the Parquet table - this will format the data into Parquet
INSERT INTO TABLE parquet
SELECT * FROM input;