PKs were messing me up badly too. You should go into practice mode, set it to penalties, and turn the targeting circle on.
My problem was that I was too used to Pro Evo Soccer/Winning 11 where the target 'sticks' to where you move the stick to aim. So aiming slightly down and to the left just meant holding the stick slightly down and left throughout the entire shot. If you let the stick go, the target 'snaps' back to dead center.
In FIFA, the longer the stick is held, the further that direction the target goes. So holding the stick down and to the left the entire time winds up sending the shot waaaaay outside. Letting go of the stick in FIFA does *not* snap the target back to center.
Use the targeting circle in practice mode to see what I'm talking about.
Essentially in a real PK situation, you have to aim 'blind' pre-shot with the left stick but do NOT hold the direction down through the shot, press shoot at the correct time to get good accuracy, and hold shoot long enough to get the appropriate power.
tl;dr go practice
edit: good ol youtube, I actually found someone explaining it in practice mode, with the circle enabled. Can't embed the vid at a certain time, fast forward to about 2:20