Just created a new field in my crm leads...with a pick list

Just created a new field in my crm leads...with a pick list

how do i mass update so that all of my current leads in the database select one of the pick list options
 
I have been doing the following and it dosen't work...
 
1) select all open leads
2) go down to Mass Update leads at the bottom of the page
3)  under criteria component I select the new field (which is currently empty) and then select is empty
4)  After searching, I select all the leads it came up with
5) after clicking the mass update button, I select my new field and then the option that I want that field filled with from the pick list...
 
where am I going wrong?
 
Michelle