For column types Rails supports out of the box - like the string in this question - the best approach is to set the column default in the database itself as Daniel Kristensen indicates. Rails will introspect on the DB and initialize the object accordingly. Plus, that makes your DB safe from somebody adding a row outside of your Rails app and forgetting to initialize that column.
For column types Rails doesn't support out of the box - e.g. ENUM columns - Rails won't be able to introspect the column default. For these cases you do not want to use after_initialize (it is called every time an object is loaded from the DB as well as every time an object is created using .new), before_create (because it occurs after validation), or before_save (because it occurs upon update too, which is usually not what you want).
Rather, you want to set the attribute in a before_validation on: create, like so:
before_validation :set_status_because_rails_cannot, on: :create
def set_status_because_rails_cannot
self.status ||= 'P'
end