Always show full URL including categories for product
What you want can't be achieved - afaik.
The problem is, that magento is planned with "product in many categories". The problem now is magento doesn't prefer any category and instead it shows no category at all.
The categories are used, when you click throught the categories, this is the only place (afaik) where the category rewrites are used.
But I think you can achieve what you want, by hacking a little bit the rewrite system and just make sure to load a category rewrite and not the one without all categories.
The next problem then is, that you have to make sure, that google still gets every time the same canonical url or you'll get a problem with duplicate content...
And the last think I have in mind: I'm not sure, wether this is a good idea from a SEO point of view. I'm no seo expert, but some one said to me, the shorter the url, the better...