While we do import NUD's categories into the Now X database, we don't import the sets from NUD. So, in Now X, you'll need to use the Set Editor, accessed via the Set popup in the toolbar, to create the sets so they have the same categories they had in NUD. For example, if your set in NUD had five categories enabled, you would create a new set in Now X, and use the Set popup to select that set to have the current tab to use that set. Then in the Categories panel, turn on the checkboxes for those five categories. You won't need to do any modification to the events themselves, just recreate the sets.

Here is a screenshot of the Sets popup.

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The Edit Sets... menu command will display the Set Editor.

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Use the set editor to add any new sets you want to have in Now X.