It's pretty much on the honor system if you know your rho chi's affiliation (or think you do). If you were uncomfortable talking to your PX because you knew her affiliation (say, you were preffing her sorority and it wasn't your top pick) you could get advice from any other PX.
When I was a PX, we weren't allowed to wear or display the letters of any sorority even if it wasn't ours. On pref night we had to dress up but couldn't wear either white (which Alpha Phi wore) or black (which all the other sororities wore). We did try to confuse our PNMs as to what sorority we were in - my group had me pegged for a Sigma Kappa.
Also, the year I was a PX, a bunch of us had our affiliations published in the school paper! During the spring, the school runs a "Campus Preview Weekend" where admitted students can come and spend a few days on campus, go to classes, check out the campus and Boston, etc. During CPW the IFC took out an ad in the paper basically to let prefrosh know who IFC and Panhel leadership was and whom they could contact if they had any questions about greek life, rush, etc. So the Panhel president, VP-Rush, rush chair, and a few rho chis who were also Panhel officers had our names and affiliations published in a paper specifically designed for prefrosh to take home.