In NX 11 with the tool path visualization dialog open you can select analysis- measure distance and activate Create Output Geometry - this will can create a line between two points.
This was in previous versions of NX but somehow got dropped from NX10. I am glad to see it is back.
You can also orient the WCS to the tool. Just make sure the selection scope is set to entire assembly.
Thank you John and MKN.
I don't see 'Create Ouput Geom.' in NX11.01, but I do see 'Between Componet Sets' under Measure Distance and this works just as well!