A good controller is vital.

It is a matter of live and death, at least decent gamepad.
SAM's Recommended Gamepad:
"Sega Saturn Gamepad" for PC (USB)
http://www.play-asia.com/paOS-13-71-1i-70-cj4.html
Sanwa NES style (USB)
http://www.play-asia.com/paOS-13-71-1i-70-t8c.html
The Saturn one is better, since it is more easy to pull the diagonals.
SAM's Recommended JoyStick:
Sega Saturn Virtua Stick for PC
http://www.play-asia.com/paOS-13-71-1i-70-gyn.html
The Saga VS seems to be installed with Seimitsu LS-33, anyone can confirm that?
Built you own custom joystick is the best option, since most adopters induce lag in the control.

This is the cheapist joystick option consider the postage you have to pay for importing joystick form Hong Kong.
One more thing, a bad joystick (with big dead zone, long throw, etc.) is much much worser than a cheap average gamepad.

Only the very best joystick beat a real good gamepad. So go for a good gamepad, if you are not plan to spend much on the control.
*Meow* I am as serious as a cat could possible be. *Meow*