Like regular penalties, both the player's Set Pieces and his experience skill should be taken into consideration, but for a penalty shoot-out scoring skill and technical specialty are important too. At every penalty (not during regular match time, though) a test of the players experience is carried out. At this point, don't send forth your shaky 17-year old debutante as the first penalty taker!
Recapping, the skills taken into consideration include Scoring, Set Pieces, as well as the technical specialty for penalty-takers. The player least skilled at these abilities should be at the bottom of this list.
Before a cup game or a qualifier, you should decide the order of your penalty takers. This can be done with a special orders form under the regular orders list.
As for the order of the first 5 penalty takers, it isn't important. All teams start off with five penalties each, and if the game is still drawn after that, it'll proceed with sudden-death penalties – each team taking one penalty each until it's all been decided.