Setting configuration parameter to role and propagating it to users

Hi,

I have following issue: I have several users with one role (and may have new users with the same role in the future so
therole creation is justified). 
So I created:
ALTER ROLE MY_ROLE SET search_path='my_schema';

But after doing it my_user (either existing or newly created) still cannot see my_schema (actually search_path is reset
to""$user",public"). 
No what I can do to make this search_path configuration parameter to affect all users with this role? Or I should set
itby hand to each user? Am I missing something ? Why I can set configuration parameter for role and not have users
affected?
I am using PostgreSQL 9.0.1.

Please advise.

Thanks & regards,
Joanna