One solution is to use the "from search folders" load option. You can specify which folders you want to search and in what order (add three dots after the folder path to also search in subfolders). When you get the load options set how you want them, click on the "save as default" button (located in the "saved load options" section of the dialog).
One other often overlooked option is the 'As Saved' option. This will try and load all the components as they were last loaded in session, so saving the top file with everything in session means next time it'll open the same way. Needless to say, if you move the components around then it won't find them.
Thanks Dan for the additional info. That's an option I did use, but the setting didn't seem to stick after I restarted NX. Is there a way to make sure this setting is going to be remembered?
Very simple: change load type to 'As saved' then click the 'Save as default' under 'Saved Load options' (@btm). make sure you see something like 'saved to file ...\...\...' which tells you where your default load options file is located (use the log file if you lose the message on screen). This should make it stick if NX is launched the same way each time.
And don't forget another option. At the end of the search folders path put (...) for example: C:\Users\folder\parts\something\... It will then search all sub folders as well for the components.
Watch out for files with the same name though. Things can get messy. I would like to see a utility that checks for identical file names. I am sure something like this must exist.