I doubt if you would want to extract the 'preview image' currently saved in an NX part file since it's pretty low-res. But what you're asking for, in terms of creating basically a screen snap-shot (at least at screen resolution) could be done by writing an NX Open program which you could then run by editing the 'Save' menu file entry so that the program would execute whenever the 'Save' operation was launched.
John R. Baker, P.E.
Product 'Evangelist'
Product Engineering Software
Siemens PLM Software Inc.
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Cypress, CA Siemens PLM: UG/NX Museum:
To an Engineer, the glass is twice as big as it needs to be.