A DSF file won't auto load when you double-click the Poser file, you need to use the deprecated script-based formats (.dsa etc.) for this. You should also save a Materials preset rather than a prop or figure for this, and put it in the Pose (or Materials if you don't mind not supporting DS3) folder with an identically named Poser file (ideally the Poser material settings, if you provide them. So you'd have something like PropsMYPropsMyProp.pp2 and PropsMYPropsMyProp.png in the prop library, and PoseMYPropsMyPropMat.pz2, PoseMYPropsMyPropMat.png and PoseMYPropsMyPropMat.dsa in the pose library. It is possible to make a script that will apply materials when the prop is loaded, but it requires (minor) hand-editing of the script file to get it.