You can either generate the monster in a PS1 save, then transfer it to the PSP. This isn't as simple as it sounds, it requires both a dex drive and a conversion from the PS1 save format to the PSP save format. I don't know the exact method, but I know it's possible. OR! Assuming your PSP is already upgraded with CFW, then you can use the built in cheat device to change your monster types (ie, If you freeze a monster from the market, you can change that monsters type using this cheat device.)
I use the built in cheat device to get the base monsters to create the monster I want. For example if I want a Tiger/Suezo, I'll get myself a Tiger/Tiger and a Suezo/Suezo then combine them - if I'm not completely lazy at the time, I'll even change the stats of the base monsters to what they should be. It's not that complicated, really. But, know that you won't have the ability to just get random monsters. My friends insist that disc monster generation is the point of the game so playing on PSP like this is silly, I on the other hand preferred the training and battling to monster generation and don't mind playing it this way. I hated going through my entire CD collection to find a monster I could tolerate raising, this way I can just pick and choose.