I have the 360 version, so I know that.
After the shot you want to save, you'll get the option to press Right Trigger to access EA SportsNet. After a hole is finished, this comes up prior to hitting the A button to move on to the next hole. I'm not sure if you need to pause the game to do this after a drive or such.
When you've saved the shot or complete hole, you will still need to upload the shot/hole to EA Sports World. Go to the EA Sports Net from the main menu of the game and the second option (I think) are your saved clips. Select the clip you want to upload and select Create EA Sports Highlight (or something like that). It takes a short time to upload, and then you are set.
I hope I haven't confused you more with this, but I'm not looking at the game while trying to remember how it is done exactly.