Not that i'm the arrow expert, but I ended up making mine using the vector tools in photoshop.
1. Create a crosshair representing the center of the joystick
2. Create your first arrow (let's say up)
3. Duplicated the layer, make sure that layer is active
4. Activeate the transform tool (control+t)
5. Move the pivot to the center you marked for the joystick by dragging the center crosshair
6. Now place the cursor at the top right corner of the selection box (it should turn into a rounded arrow)
7. Hold shift and right click, drag down and right to rotate it by snapping to 45's
8. Repeat from step 2 until you have complete arrow artwork.
Hope that helps.
-csa