I have also been successful doing this by internet on NWA.com after checkin and bag checkin at the airport. I head for world club, log in to NWA.com and change the FF number in the reservation. Even though you are already checked in under your co number, it will change the tracking for the rest of the flights on this record including the one you are about to board.

Granted this requires internet access at a worldclub or some other way at the airport. I have not been able to do it on my Sprint phone's browser even though I can display the reservation in the mobile browser.

Asking a gate agent to do it is a little risky. Some just don't know how, some don't want to take the time, and some will ask why, and not like your response. Don't get me wrong, many can and will do this with a smile.