Cawthor, you may want to try these steps.
1) Push D-Pad to Lower Right or Lower Left and hold it there (basically you are deciding whether to Shoot Low to the Left or Right of the Goal).
2) At Difficulty Star-Level 3 and below, tap the X button once. Wait a couple of seconds (eg. 3 secs) and tap the X button again.
3) Make sure all this while that your D-Pad does not shift to any other position.
4) The Penalty Taker will then proceed to shoot the ball low in the direction that you held.
5) At Difficulty Star-Level 4 and above, do exactly as above, but instead of tapping the X button, hold it down for a longer period (eg. 2-3 secs), release X button, pause for 3-4 secs and press X button again for 2-3 secs. At the higher levels, if you just tap the button, the Goalkeeper tends to save the shot.
6) I was pretty frustrated with penalty-taking until I remembered a friend of mine who taught me how to take penalty-kicks in that Amiga classic “Kick Off 2”. I won’t try anything fancy like holding the D-Pad to the mid-Centre Left or Right or Diagonal Upper Left or Upper Right. Just keep it simple.
7) Also after you having tapped the X buttons twice, immediately re-position your finger to the Square button, in case the goalkeeper manages to parry the shot or if the shot hits the post. When that happens, just follow through and thump the ball pass him with the Square button.
Forget the Analog Stick, the D-Pad for penalties is much easier to use.