This looked relatively simple, so I wrote a script to take care of it. The wheel can be anywhere from 301x301 to 3001x3001. The outer ring can be from 1-15 pixels thick. The pen that makes the compass lines is three pixels wide. The width of the arrows can also be controlled by the "Inner Arrow Thickness" command. I've attached the script (zipped) as well as the wheel that results from the script run with is default parameters.
Hope this helps!