To rename inside of NX do a Save As. If this is a component the command will also ask if you want to rename the assembly it is in to. Either give it new name or skip the subsequent save as prompts. Command will then summarise the renames.
Just like Steven replied you can do a save as.
only when you have a component added more then ones (for example an array of components)
you can use make unique to rename just 1 of the components if not all components needs to be renamed.
I see 4 ways to do this in NX;