It helps to know the version of NX you're using.
I will assume you're using at least NX9, in which case the process should be the same if you're using NX10 or NX11.
Menu -> Insert -> Design Feature -> Hole.
Expand the ENTIRE dialog so you see ALL options (small arrows to the right of each dialog heading). Under Type (at the top), change the option to Threaded Hole; under Settings (nearer the bottom), change the thread standard to Inch UNF; under Form and Dimensions, pick 1/2-20 for the size - the rest is up to you - pick the hole center and define the direction vector for the hole & set the other details. If you get stuck, click on the Help on Context button to open the Help Docs if you have them installed.
Tim Flater
NX Designer
NX 9.0.2.5 Win7 Enterprise x64 SP1
Intel Core i7 2.5GHz 16GB RAM
4GB NVIDIA Quadro K3100M