To make full use of the picture controls that JRP so nicely provided, you have to load the picture controls onto your camera and import them into Capture NX2. It took a bit of digging to figure out how to import the picture controls into NX2. Here's how I was able to do it.
1) After loading the picture controls onto my D700, the picture controls are still on the CF card. I inserted the card into my computer's card reader so that the picture control files are in: E:\NIKON\CUSTOMPC\PICCON01.NCP E:\NIKON\CUSTOMPC\PICCON02.NCP
2) Start NX2 and open a NEF
3) In the Develop section open Camera Settings and under the Picture Control section, click on the menu icon.
4) In the menu that pops up, select "Load Custom Picture Control Settings"
5) Surprisingly, NX2 was smart enough to find the CF card and display the picture controls on it
6) I selected both picture controls (Ctrl left click on each in Windows) and clicked the OK button
Hopefully this helps everybody take advantage of these picture controls.