So what you can do in one of two things.
First jerry1423 has it correct about saving a file for your personal use and I would add that putting it in an specific location will help. You're likely to find however that while you can name several files fit for different options settings and place them in locations of your choice that you will have to manually go into File>Load Options, tick from file and then pick the one to restore from at least once per session. The system will default to one file in the default directory and named "load_options.def".
Two basic reasons to customise come to mind. The first is that different users may be working with their own personal user directories and drive mappings on a network. The second is that you could be working with different projects or subsets thereof where you tend to store groups of files in different places but it is inefficient to always search all of the storage volumes.
For the first you can create a simple solution that allows the system administrator a possibility of better control over how users operate. That is done by editing the ugii_env.dat file in the <install>/UGII directory. You'll be looking for the varaible "UGII_LOAD_OPTIONS=" and in NX-5 the section reads as follows below, noting that it contains a handy tip about directory naming which applies to all versions.
# This variable defines the ascii file that contains the load options settings.
# If it is not set, a file called load_options.def in the current directory
# is searched for instead. NOTE: If you set this to a file specification
# that contains spaces, you must enclose the file in quotes, e.g
# UGII_LOAD_OPTIONS="c:\my Data Files\load_options.def"
#
UGII_LOAD_OPTIONS=
In combination with the above try having each user map their local directory as the same drive path and then use equivalent drive mappings for network based project areas.
The other way to go is again you can set the default directory above to the user's home directory. Then save a bunch of load options files under several different names using either a different directory location or any name except "load_options.def". Then you can have a series of batch files that either copy and paste to overwrite the default filename "load_options.def" in its default location or vary the environmental variable setting by including a string per the example below. You would have the same batch file also launch NX to start a session with your desired load options for the project.
UGII_LOAD_OPTIONS="c:\my Data Files\my_load_options.def"
See how it goes for you
Cheers
Hudson