Yeah. The format only changes the way the data is presented, not how it is stored. It wasn't clear from your question which was important. If you want the leading zeros stored then you can't do this in a number firld because numbers don't have leading zeros. As ghudson suggests, the text field will do this, but now it's no longer a number. Your choice.
Len, you could do what you want in a text field. There's a function that turns a text field into a number, but I can't remember off the top of my head, and I'm heading for the door home....