Compare Axis is the function I would look at.
If left Analog X Axis = -100 and left analog y axis = 0 then sprite is whatever frame/s that point it left.
Repeat seven more times for your eight directions.
X = 0, Y = 100 (Down)
X = 0, Y = -100 (Up)
X = 0, Y = 100 (Right)
X = 0, Y = -100 (Left)
X = 100, Y = 100 (Down Right)
X = 100, Y = -100 (Up Right)
X = -100, Y = 100 (Down Left)
X = -100, Y = -100 (Up Left)
-EDIT- Now that I'm thinking about it, you may want to set these numbers at 1 (or mess with the Comparison), not 100. 100 would mean the sprite wouldn't change unless the stick was all the way pushed. You probably want it to change faster than that.