if you could upload a Parasolid version we peasants with NX9 can also have a look
(well, STEP is better as there are wireframe entities)
To me your method looks fine... the other option i would have tried ...Variational sweep ...but since the circle is basically constrained with three points so i can also use maximum three guide line intersection points for constrainting the circle sketch.
The swept function is limited to a maximum of three guide strings. The help docs explain why this is:
Every single CAD system will need more then one feature, there are at least 3 sketches...
But you can create a solid body with one feature if you use the V-Sweep command. And there are more solutions, you can use a mesh of curves, extrude, section surfaces or face blend.
Production: NX10.0.3, TC 10.1.4
Using Variational Sweep will create this geaometry as one feature as you require. However I would as Cesare reccomends most likley use the solution he states "The solution I propose is a Through curve mesh by building another profile at the end".
Should you want try to do this with Variational Sweep and analytic input attached youll find a recording of how to.