This is because sudo != su. SUDO has it's own 'privileges file'. On MacOS X, this file is: /private/etc/sudoers

You MUST edit this file with 'visudo' AS root, to establish how you want sudo to behave.

So, first go HERE in your browser:
http://www.almaren.org/tmp/sudoers.sample

Then, with the file in your browser as a guide enter (in a terminal window):
'su -' <return>
visudo <return>

You will then have an *example* reference 'sudoers' file in your browser, and be editing the 'sudoers' file in a terminal window.
The sample 'sudoers' file, in your browser, will help you set up your 'sudoers' file that you are editing.