Yes, entities are created on your current work layer. You can assign entites to a different layer after creation by using the 'move to layer' command (in format menu of NX2, or optionally in the Utility toolbar) or 'edit object display' (in edit menu) to name 2 methods. If you just want to control visibility you can also blank objects that you don't wish to see (and of course unblank them when you do need them).
UG doesn't have a 'freeze' command like AutoCAD, but I have not found that to be a problem.