If you go to view > color and appearance, the appearance editor dialog box opens. From here you can add a new appearance (click on the plus). If you select the Map tab, you should see options for bump, color texture, and decal. Click on the white square in the bump section, and the appearance placement box should open. If you click on the plus again, you can browse .tx3 files for the knurled pattern. Select the pattern in the appearance placement dialog box, then hit close.
Back in the Appearance Editor dialog box, select "surfaces" in the drop down menu under assignment. You can then select the surface you wish to apply the knurling to, select OK, then Apply.
Note: If you do not have the knurled pattern in your library of .tx3 files, perhaps you can find somewhere online to get it. Does anyone else know a good place to look?