Just recently completed a controller conversion.
Step 1: Went to Best Buy and bought a 10 dollar PC controller (NOT USB) to experiment with.
2: Did some digging, found a PC controller extension cord.
3: Cut the end of the extension cord to size so it would go into the Neo Geo all the way.
4: Opened the controller, cut all the wires, and took out all of the resistors.
5: Made the necessary connections on the circuit board so everything was "common". Soldering...
6: Cut off male end of extension cord, diagramed which wires went to which hole in the female connector.
7: Using the Neo Geo pinout available on the net, wired everything so it matched with the buttons I wanted (again, soldering).
8: Plugged it in and it worked!
I didn't do it myself this time (My dad showed me how... and he has *no* experience making controllers), but having seen it done, I'm confident I could do it myself. It's really quite easy - it's just a matter of getting the necessary supplies.