NHANES III data files have been released by their collection method, Adult or Youth Questionnaire, Examination, Laboratory, and Foods. These are very large data files with many variables. The process of removing the variables you do not need for your analyses and retaining only those you will require in your analytic dataset is called keeping.
When keeping NHANES III variables you should always include the SEQN variable. SEQN stands for sequence number and is a unique identifier for each observation (participant) in NHANES III. Every time you extract variables from an NHANES III data file, you should include the SEQN variable in your selection. Failing to do so will lead to problems if you want to sort or merge your data files at a later time.
After keeping the variables of interest, you will need to check the results. You should check to see that all your variables were included and that any variables you renamed or recoded are correct.