I-Hacked.com have posted a guide to taking apart a PS2 Controller to get a better Analog stick for your PSP. Heres the guide --> http://www.i-hacked.com/content/view/211/62/
Thats all very well but if you dont have a PS2 Controller handy and you dont want to mess about, then check out my Function Crystal Cover Review where you actually get a replacement stick anyway and much better too.
Much easier than messing about taking controllers apart ;)