In pre NX9 : Go Edit -View - Section in view... The dialog that comes up has in the lower options to select components and make them Non sectioned.
NX9 , I have no clue on where this function is.
Expanding on Toost's post, if you don't want the component to be sectioned in any views, you can add a string attribute to the component: SECTION-COMPONENT with a value of NO. No section views in the drawing will section the component; the Edit -> View -> Section in view... command is more like a view dependent edit, it will only affect the view you choose. If you NEVER want this particular part sectioned in any drawing file, you can add the attribute to the part file itself. When used as a component in an assembly, it will automatically inherit the part attribute.
So, there are options to consider depending on your situation.