So after quite a bit of research, I found the right way to do this. You’ll need to use an Entry Point service and define it in your firewall configuration.

This method will not mess with your default page settings specified in your firewall config for logging in.

The Code

security.yml:

firewalls:
    main:
        entry_point: entry_point.user_login #or whatever you name your service
        pattern: ^/
        form_login:
        # ...

src/Acme/UserBundle/config/services.yml

services:
    entry_point.user_login:
        class: Acme\UserBundle\Service\LoginEntryPoint
        arguments: [ @router ] #I am going to use this for URL generation since I will be redirecting in my service

src/Acme/UserBundle/Service/LoginEntryPoint.php:

namespace Acme\UserBundle\Service;

use Symfony\Component\Security\Http\EntryPoint\AuthenticationEntryPointInterface,
    Symfony\Component\Security\Core\Exception\AuthenticationException,
    Symfony\Component\HttpFoundation\Request,
    Symfony\Component\HttpFoundation\RedirectResponse;

/**
 * When the user is not authenticated at all (i.e. when the security context has no token yet), 
 * the firewall's entry point will be called to start() the authentication process. 
 */
class LoginEntryPoint implements AuthenticationEntryPointInterface
{
    protected $router;

    public function __construct($router)
    {
        $this->router = $router;
    }

    /*
     * This method receives the current Request object and the exception by which the exception 
     * listener was triggered. 
     * 
     * The method should return a Response object
     */
    public function start(Request $request, AuthenticationException $authException = null)
    {
        $session = $request->getSession();

        // I am choosing to set a FlashBag message with my own custom message.
        // Alternatively, you could use AuthenticationException's generic message 
        // by calling $authException->getMessage()
        $session->getFlashBag()->add('warning', 'You must be logged in to access that page');

        return new RedirectResponse($this->router->generate('login'));
    }
}

login.html.twig:

{# bootstrap ready for your convenience ;] #}
{% if app.session.flashbag.has('warning') %}
    {% for flashMessage in app.session.flashbag.get('warning') %}
        <div class="alert alert-warning">
            <button type="button" class="close" data-dismiss="alert">&times;</button>
            {{ flashMessage }}
        </div>
    {% endfor %}
{% endif %}

Resources:

• AuthenticationEntryPointInterface API
• Entry Points Documentation
• Security Configuration Reference
• How to Customize your Form Login
• Why access_denied_handle doesn’t work – thanks to cheesemacfly for tip