I dont know why you say this there are plenty of pics that come out that dont necessarily need to be sharpened.
Not sure why your pics are coming out soft though.
mmm, well I say it because it is a fact.
I also say it from experience. I have extensively used the D100, D200, D70S, D80 and D300. I can't personally speak to the D40s, etc. I have consistently seen this behavior and provided this advice to many friends and colleagues who noticed the behavior on their cameras... cameras of all makes and models. Sony, Nikon, Canon, Pentax, my daughter's Fisher Price camera...

you name it.
I also said it varies by camera manufacturer and camera. As I mentioned the D70 (I believe it was mainly the D70S...) was famous for -very- sharp pictures, but most of the Nikons appear to have a bit of softness to them by default. (somewhat configurable)
I somewhat hinted at this but wasn't explicit... this also depends very much on personal preference. Beware! Level of sharpening desired is subjective, so this quickly becomes a religious issue.
I should also point out that it varies from pic to pic... if you take a picture of a sunset or a bride at the window, you may WANT the softness. If you're taking a picture at Fenway, you may not. etc.
Unfortunately, I cannot find the article I read... might have been in a paper trade rag, but it basically explained that there is a reason for this with digital cameras that has something to do with the way they are getting the image on the sensor. My memory on this is very fuzzy (YUK YUK YUK), but I believe it had to do with interpolating information between two pixel locations on the camera to determine the color for that particular pixel. Perhaps someone else here can help me out since I am really grasping at straws at this point.

Regardless, experience shows that many d-cams produce soft images.
Anyway, the end result is that most digital pictures start out somewhat soft, and the camera's handling of them determines what the output is when it records the image to memory.
For EW1066... my guess is if you look in the menu you will find that your cam is set to the lowest default sharpening setting. My experience is that even at the highest sharpening settings I tend to tweak most of my pictures... Nikon doesn't tend to go hog wild, probably because they are concerned about over-sharpening as it does have some potentially negative impacts (depending on what you are trying to do, of course). Bump it up a notch, take some pics, see what you think... if you would like more, bump it up again. (particularly where you don't have photoshop yet)
I believe GIMP and some other free tools have equivelent sharpening capabilities (as well as everything else) to Photoshop. You might grab that and toy around with it.
For those interested, here is a tutorial on sharpening:
http://www.dslreports.com/faq/13197