You can also try to export parasolid. When you select all the bodies you need, they will all go into one parasolid file.
Just open/import the parasolid and you have everything in one part file.
If you really need them to be one body, you need to unite them afterwards.
There you might get the risk that they wont fuse if there is a gap between some of them.
In that case Simplify Assembly could help.
If you really need the data for visualisation/reference, you can also have a look into Assembly Outline. This gives a faceted representation of all the seperate components in the assembly. You dont need to open the components, but you still can see them and open the referenced parts.
The best choice depends on your use case.
open the part in which you wants to import the other files, then in the NX menu select file / import / part.
This works not only with NX part files, you can import JT and SE files, too.
When importing NX parts the complete history tree will bee imported, using SE or JT files you'll get a single feature.
Also have a look on the options for getting the best result (groups, layer and CS setting)
With this method you can not only import solid or face bodys as when you use parasolid, you can also import for example curves from JT files.
Production: NX10.0.3, TC 10.1.4