And I'm way too many gins in b/c I see you're asking about UNG. Principle is the same but you own shares of a fund that has to be long NG and track the forward contract as close as possible.
As an example, Aug11 is paying +0.29 over Sept11 so if you were to purchase UNG right now, you get a positive roll. However, if you hold it from Sept to Oct, Sept is paying -0.15 over Oct so UNG theoretically has to pay that basis (if it holds) to roll their fund over. Then if the spread holds, you pay another -0.108 to roll again into Nov and so forth.
You're getting the exposure that you want but it comes with a cost + mgmt fees.