Depending on whether you want to work at a project level or at an area level, the process is the same. Simply start with the Master Model or the Area Model.
The first time you set up for a Navisworks review, open the Master Model DWG file. Now after performing any operations you want to do, save the model as a NWF. In future reviews, open the NWF file and comments, materials are retained even after the DWG files which are referenced have been updated.
Sometimes you want to do reviews at a particular milestone and want to save the project for further reviews even though the project design is continuing. In these cases, open the Master Model or Area Master DWG in Navisworks, and then save as NWD. All the model entities are now saved in a single source model which can be viewed using Navisworks.