There's a lot of good information in the NX11 What's New:
Based on bevyboy's Convergent Modeling movie, I suspect you'll have to create your sketch separately and then project the sketch curves to the convergent body to use them:
Not yet... Meaning in future versions FEA/CAE and CAM will be supported. If all goes well as soon as NX 11.0.1. But I cannot make you any promissed yet.