Whether you use XT (4Mhz or below) or HS (Above 4Mhz) the Fuse settings can be programmmed as part of your hex file...or alternatively you should be able to set this with your programming software at the time chip is being programmed...look for HS or XT options.
The thread below will give you a good guide how to set it as part of your hex file.

http://www.picbasic.co.uk/forum/showthread.php?t=543

I tend to leave it on HS option on no matter what crystal I am using, works perfectly fine with any speed...

Cheers