Well this is an issue people fight me on all the time but it is true. Console games, particularly those that are analog are designed to be played with a tiny thumbstick. The values given, the amount of movement you need to adjust, speed, ect are all over-exaggerated because you can twirl around that tiny little stick quite easily. When you try to play the same games on a larger controller it's very hard as they weren't designed for it. Even if you adjust the sensitivity you'll never get it exactly right because that big honkin flight stick is heavy and your hand has far less control over it.
The moral of this story is don't go to the hardware store to buy a flat head screw driver to use as a chisel. Yes, you CAN use the screwdriver as a chisel, but your at the hardware store, so go ahead and get the proper tool while you are there. If you don't like the controls on your console, don't make an arcade stick for them. You'll probably be happier spending your cash on a really nice third-party console controller.
Of course as you said, wheels are another story, since they are a popular console accessory and many racing games are coded with them in mind.