We usually just put a note on the drawing and an arrow pointing to the face/diameter on the drawing.
Be very careful if you want to do this, It Kills frame rates and regeneration times. But if you feal you must (and I am guilty of trying it just for a giggle). Create a right hand helical curve along the diameter on the shaft. Then drive a vee shaped cut along the curve. Now to complete the operation do the same with a left hand curve and vee cut
If you want to justify more expensive hardware to your boss just show him how long it takes to regenerate the Knurled model.
Generally, things like screw threads and knurls are handled with either notes or cosmetic feartures. Lots of small surfaces which do nothing for the presentation of information. Unless you are in the business of making knurling tools or screw taps it is best not to solid model these types of features.
I look at knurling like I do gear teeth and wire meshes. I will represent these items, but I don't model them if I can help it.
If you are trying to put knurling on a purchased knob, don't. The additional features adds to your model tree and slows regeneration. The tiny cuts slow graphics performance. Plus you spend time modeling it.
If you need to see it visually, use a cosmetic feature or a closed loop datum curve to show the area to be knurled. You can also use the datum curve as hatch lines to represent the knurling pattern/direction. The cosmetic feature will regenerate quicker but may not be what you need. Although most knurling is rolled into the part by a knurling tool, manufacturing tool paths built in Pro/NC can follow datum curves if you need them to.
If you need the geometry of the knurling for some reason (mass properties, fit, etc), feel free to model it. The suggested technique Lesley offered works great.