In the old management console, click Settings>Gmail.
In the new version of the management console, click Google Apps>Gmail>User Settings.
(Free version) In the unlimited alias address section, select the Forward mail to: radio button.
(Other versions) In the E-mail Routing section, select Route to Unlimited Alias Address: radio button.

Enter the user name to which messages sent to unknown users will be forwarded.
This user name must be a valid account in your domain. Do not include domain names; Google Apps will automatically add @ your domain to the address.

Click Save Changes.