You did not do research at NIH. That would imply that you worked in the intramural research program at the actual NIH campus. You did research in a lab with an NIH award, or at an NIH funded institution. But really I don't think that's worth mentioning, it's the actual institution you were at that matters.
Edited to add: Probably the only time I would suggest specifically mentioning the grant that funded your research is if you had a direct role in writing the application for the grant/are named on the grant in some way. That would be a cool thing to mention, imo. But otherwise it's assumed that your lab will have funding from somewhere, you don't need to mention NIH. An adcom can feel free to correct me if I'm wrong on this, but I'm pretty familiar with the grants process and wouldn't feel the need to know this if I was reading your resume. Your PIs name and institution would be more than enough information if I really wanted to know more about your funding sources.
