That depends on what version of NX that you're using.
Starting with NX 7.5, there's an option on the 'Sketch Tools' toolbar which will allow you to select any Driving Dimension and have them show as PMI objects once you leave the Sketch task.
John R. Baker, P.E.
Product 'Evangelist'
Product Engineering Software
Siemens PLM Software Inc.
Industry Sector
Cypress, CA