To grab an enemy, you must be standing and walk up to a NKA solider and hold X when prompted to grab. You can do this while cloaked to make it a bit easier. The enemy is not dead when you grab them, although as you have them in a chokehold, they will go unconscious. At this point, you can either throw him by hitting X again or clicking RS, or you could his buddies shoot him as you use him as a shield.
Note that if you go the human shield route, they won't last long. Being in armor mode is a good idea, as well as being close to cover.