When you are creating your project with angular cli try this:

ng new My_New_Project --style=sass

This generates all your components with predefined sass files.

If you want scss syntax create your project with :

ng new My_New_Project --style=scss

If you are changing your existing style in your project

ng set defaults.styleExt scss

Cli handles the rest of it.

For Latest Versions

For Angular 6 to set new style on existing project with CLI:

ng config schematics.@schematics/angular:component.styleext scss

Or Directly into angular.json:

"schematics": {  
      "@schematics/angular:component": {  
      "styleext": "scss"  
    }  
}