well, yes, but you are giving up something - when saving as FITS you can get all the fits keywords that give the target, exposure time, center coordinates, etc. if you save as NEF you might be able to get a nice filename but there won't be any FITS keywords.
another strategy is to just use SGP for everything and understand that it's going to modify the data coming from the camera if you use fits. key thing is just to not mix calibration frames in NEF format and SGP fits.
rob