When faced with an attack from the wing, your wing/full-backs are responsible for winning the ball. However, don't try this manually; instead, you should control one of your centre-backs and press the square button to force your fullbacks to automatically go after the attacker. If the attack manages to beat your fullback and cross the ball, you will be able to defend the cross easily and quickly with the defender under your control.
However, make sure that it is your fullback defending the wing and not the centreback!
However, make sure that it is your fullback defending the wing and not the centreback!