There is no reason to save an image in NEF format. I do not see it listed in my "save as" choices in CS4 and I do not recall seeing it as choice in CS3 but it might be there, although I cannot imagine why. There is a choice for Photoshop raw but that is not the same as NEF.
Once you open an image in Photoshop, particularly if you plan to rework it, you should save it in the Adobe PSD format which will preserve all your layers. You can use tiff or jpeg for particular purposes but those formats are best used for single layer finished images that will be used for specific purposes.
The nef image is the original data from the camera. When you make adjustments to the nef image in the Adobe raw converter the image data is not altered. The processing you performed is recorded as a set of instructions and applied to the image when you reopen it in the converter but the raw image data is not altered. If you click anything other than cancel in the ACR your processing steps are recorded with the file. Processing you apply to an NEF file in the ACR will not be recognized when you open that NEF in another raw converter, like Nikon NX and vice versa because each converter saves the instructions you gave it about processing the image in a proprietary format. The underlying image data is not altered, nor would you want it to be. If you process an NEF image in NX the program will convert that image to a TIFF prior to handing off that image to Photoshop.
If you have not tried NX download it from the Nikon website as the trial is functional for 60 days. That might work better for you than Photoshop if you want to save a highly processed NEF file. Again, that processed image will only be readable in NX if you want to reopen it with all the adjustments you made to it.
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