At the top of the import screen you will see an option to either save as is or to convert to DNG. If you convert to DNG then the NEF is not saved. One thing to keep in mind is that the DNG retains all the info than the NEF does and instead of saving the EXIF data as a sidecar, it places it inside to file. Also, DNG files are about 20% smaller in size than NEF files, if by chance that is important to you.
I convert all mine to DNG simply because I don't want my EXIF data to get lost and unfortunately NEF files have a nasty habit of occasionally losing the EXIF data. Also, I'm producing massive 36 mp files so 20% savings can add up quicky.