Yeah that's the best way to get NES SFX.
You put the NSF in your winamp playlist. When you double-click it, Notsofatso's gonna open up a window.
On "Play Control" you see a slider bar at the bottom. Each 'tick' in the bar is a different sound. The first ones are the BGMs of the game. However, all the ones afterwards are sound effects.
If you just hit "Play" it'll run through them all sequentially.
However, if you right-click Winamp and go to "Preferences" and change the output plugin to "Nullsoft Disk Writer", then repeat the procedure, it'll QUICKLY rip all the tunes in sequence into one big WAV file.
You can then just crop out the SFX to separate files. NotSoFatSo even will let you save the NSF's contents to their own playlist, which you can do PRIOR to running the Disk Writer operation and it'll rip each sound to its own little individual WAV file.
It's very handy. I do hope you make the most of it.