I don't know of any particular tut but I'll walk you through some steps to try out on your own.
1. Draw out the style and shape on paper and hold on to this for a bit.
2. In PS create a new layer and then draw a line vertically by clicking once at the top, hold down shift, and click again at the bottom.
3. Duplicate this layer and then rotate it 90 degrees. You now have a crosshair.
4. Merge the layers down and then duplicate again.
5. Rotate the layer 45 degress and you now have 8 lines for directions.
6. Merge the layers or make more direction lines if you want. When done merge the layers.
7. Scan your image and put this layer on the bottom of the layer stack.
8. On a new layer start making circles or diamonds or whatever geometric shapes you need.
9. Lastly, put some letters in for the directions. Make sure that these layers are all transparent and then delete the background layers so that your compass is color and clear and save it.
10. Now you can start doing the layer styles or hand airbrushing or what not to make it look pretty. Of course you can just leave it black and clear so that you can use it as a brush.