Déclarez ZEROFILL sur la colonne :
mysql> create table foobar (nr integer(4) ZEROFILL);
Query OK, 0 rows affected (0.31 sec)
mysql> INSERT INTO foobar VALUES (1),(12),(123),(1234),(12345);
Query OK, 5 rows affected (0.05 sec)
Records: 5 Duplicates: 0 Warnings: 0
mysql> SELECT * FROM foobar;
| 0001
| 0012
| 0123
| 1234
| 12345
