What alternatives do you have? I'd probably convert from .ARW to a 16 bit TIFF. Then open the TIFF in Capture NX2 and Save As an .NEF. All subsequent edits will be lossless and reversible.
A TIFF will have more image data to bring into Capture than a JPEG. Capture NX2 will handle JPEG's or TIFF's just fine, but converting them to a .NEF format makes post processing a bit better since everything is lossless.