The Cycle Analyst has a setting for the actual shunt resistance (Rshunt). You only need to be within 10%. so using a 5cm piece of 14g wire will get you close enough. You can only calibrate it if you have a known current.
If your controller has the max current written on it, that's normally fairly accurate, so you can connect everything up with the Rshunt value set to .005, which I think is the default, then power up your bike with the wheel off the ground and apply the brake to slow it right down. The CA should show the current equal to the controller's max. You can make small adjustments to Rshunt to get it right. Don't hold it slow for too long because things heat up quickly.
Don't go too thin on the three thin wires from the shunt. 22g is probably about right.
