Wow! Lot's of answers and everyone is right.
I look at knurling like I do gear teeth and wire meshes. I will represent these items, but I don't model them if I can help it.
If you are trying to put knurling on a purchased knob, don't. The additional features adds to your model tree and slows regeneration. The tiny cuts slow graphics performance. Plus you spend time modeling it.
If you need to see it visually, use a cosmetic feature or a closed loop datum curve to show the area to be knurled. You can also use the datum curve as hatch lines to represent the knurling pattern/direction. The cosmetic feature will regenerate quicker but may not be what you need. Although most knurling is rolled into the part by a knurling tool, manufacturing tool paths built in Pro/NC can follow datum curves if you need them to.
If you need the geometry of the knurling for some reason (mass properties, fit, etc), feel free to model it. The suggested technique Lesley offered works great.
Good luck.