Ask them to send you parasolid files format, lot easier to handle yet it'll be imported bodies only. And then send them back the updated parasolid file.
there is no way to get features back to UG, now is it UG or NX with Synchronous Technology? if Synchronous they can just push pull the changes where in SW we have to make them features to work. For work like this there is another software that makes life alot easier, SpaceClaim is a push pull no history or feature, great for this type of work.
Now as Deepak said parasolid is the best for back and forth between the 2. Is the part a solid or just surfcaes, if surfaces you will have issues, meaning you have to turn it into a solid by reairing or fill the gaps.