Right. You can set them to a specific preference, but they won't actually do that task until you drag them over and teach them.

To teach one of them research, for example, drag him onto the table. Now, watch him for a few moments. If he understands what you are teaching him, you'll get a note saying that he has improved. If not, he will shrug his shoulders and go do something else. You will need to drag him back to the table again and again until he improves at least one notch in research (check the details page).

After that, he'll happily do research on his own.

This also goes for farming, breeding, building and healing.