My uncle's name is Nicholas, so a lot of us call him Nicky as a nickname. Though I do like it, that's all I think it can be; a nickname. It's just a little too informal to be an actual name on a birth certificate.
I love the name Nicky for a boy. I like it for girls, too, but for them I prefer it spelled Nikki or Nikkie. It looks more feminine, and Nicky looks more like a laid-back and sweet but masculine guy.