This tutorial will demonstrate a simple web service call to the SharePoint Lists service as well as show how to view its results so they can be used with other Nintex Workflow actions.
Newer versions of Nintex Workflow allow you to get multiple outputs from a single Query XML action (screenshot from 126.96.36.199 for SharePoint 2010).
Also, there's now the XPath Query Builder which you can use to build the XPath expressions given a sample of XML you can type into or import in this dialog:
Looks like the screenshots are rather dated, because they don't show the Run Now button either - a very useful capability of the Workflow Designer.
The Xpath Query builder would be nice to have with Web Request on the forms at its a pain to write it out to get data.