Depending on prpose there are a couple of ways to do this. Since you mention the modeling env Im assumin that the manufacturing tools are out of the question. Attched is a video showing 3 ways:
Hope it helps.
I don't know a tool within NX.
the thing is how to define a hole? is every cylindrical face a hole that comes from a step file?
Cylindrical faces can also be a blend face?
Visual reporting can maybe also help for step files, you can use the report "faces < user specified radius"
Here you can seachs for al the faces less then the given radius.
Maybe DFM Pro can help with this.