We are switching from NX6 to ST6. I have an assembly file in one directory and many of the assembly part are in different directories. When I open the NX file in ST6 it opens the assembly and the parts that are located in the same directory as the assembly. Component parts that are part of the assemlby, but located in different directories than the assembly file do not load into the assembly (not shown in the tree).
It depends where you plan to go with your data long term. If its not important for it to "stay put", then I'd move the NX parts all to the same folder as the others. When you open the file it will find all these local versions and automatically open them.
If that is not what you want it may get more complex. Are you on maintenance? You could of course call GTAC and they wil probably figure it out quickly for you.