I have used that exact thumbstick on my set up, just connect it up as Mega_mozg has shown you and it works great. Soldering onto the tiny pins is damned difficult though - or at least was for me! I have 4 of them as one was messed up and simply didn't go back tot he center on one of the axis and I was inteding on mounting three in total on my HOTAS, although may stop at 2 now that I am actually putting it together.
I have not tried but MMJoy has a section to make 'axis to button' so I imagine you could set it up as a hat (something I should do myself). I also intend on adding texture to the top of mine (eg witch hat, castle hat) using various things to make them easier to control.