Ok, lets start, get your saw, and start cutting the front shell of the PS2 controller. After cutting, it should look something like this:
Do both sides of the controller.It might take a lot of energy to cut it, so don't tire yourself out.
Next, take your psp cover and smear super glue around the D-pad button holes then stick your D-pad sided ps2 shell over it.Do it the same with the X [] O /_\ side. MAKE SURE THAT YOU STICK IT CORRECtLY, look below for the picture before you attempt to glue it . Do not use el cheapo glue, it must be those glues that are stick hard.
It should look like this after sticking:
To make it more comfortable, take your back shell of the PS2 controller and cut it at the handle like this :
After cutting both sides, screw it to your front part of your handle:
Viola! you got a PSP/PS2 controller.
NOTE: Treat it well, don't get carried away during playing and break the thing.
For others looking at options - dealextreme has a few products that add handles similar to this. The only difference is that they clip from the back, so they won't have the protective cover like this mod. That said, there's inexpensive handle options that add speakers and/or additional battery power.