Create a hexagon with no fill

Another way:

1. Draw out your Hexagon shape using the Polygon Shape Tool

2. In the Style picker select the Visibility category from the drop down menu the click Hide

3. Go to Layer>Layer Style>Style Settings and check Stroke

    To adjust the Stroke later you can double click on the small fx in the Layers panel

There may be an easier way, but here is a convoluted one:

• Use the Shape tool to create the polygon.  (You can choose the tool options to change the number of sides of the polygon.  Choose any color other than the color you want for the border.
• 

• From the Layer menu,  choose Simplify Layer.  The Polygon should be selected.
• Choose a foreground color from the color picker for your border.
• From the Edit Menu, select Stroke (Outline) Selection.  You may need to experiment with the size of the border.
• Use the Magic Wand selection tool to select the polygon fill layer.
• Press Delete.

You should now have a polygon with a color outline and transparent fill.