This topic has been discussed several times on the board, try searching on "diagonals". I don't recall there's a guide on it. So here's one, may it be a short one. The problem is caused by the fact that when using diagonals, the two direction buttons, for example up and right are not pressed hard enough. However, you can press as hard as you want, but due to the shape of the shell and the thickness of the control stick, you won't be able to press 'em any harder. You shall notice that when you pull your control stick off (it can be done without to much force), you can, by steering with your thumb, perform these diagonals. To summarize, there are I believe 4 solutions.
1. Send your GP back to Gamepark, the most safe solution. They will send you a new one.
2. Pull out your control stick a little bit. For some people, this proved to work. For me, however, it didn't do shit.
3. Open your GP, cut loose the white cross with a Stanley knife (the plastic is burned to the print layer, so you really have to cut it) and use something (thin foam or something) to put between the cross and the control stick. This way the control stick can press both buttons (up & right, for example) at the same time, and the problem is gone.
4. Largen the hole (the one where your control stick comes out) in your shell a bit, by sanding it with a drill or whatever. With a bigger hole, the stick can be pressed further thus allowing you to simultaneously press two control directions at the same time.
Search the board, all solutions have actually been performed by someone. Although I haven't fixed the problem myself yet, I intend to go for the last solution, cause this will spare me the two months it will cost to send my GP to bloody Korea and back, and will do the least harm to my GP, only to the shell a bit. Good luck.