The embedded JPG that the camera produces is quite good in itself and is certainly very usable to judge the sharpness (and other things).
Note: This of course depends on the camera settings in place, if you have turned-off sharpening in the camera, the embedded jpg will have no sharpening either. For this purpose I always shoot with sharpening set to 6. When I then process the files in Cpature NX, I reset this to 0 (i.e., none) and perform my sharpening with an USM edit step.
Another note: processing the NEF through Capture NX, updates the embedded jpg with a high quality jpg which is bigger than the camera embedded one so I reckon has slightly better quality as well. But as I said, the original camera one is certainly good enough as well.
Hope this answers your question,