Games usually have game controller setup screens where you assign game commands like up, down, left, right, etc to game controller commands like left thumbstick, right thumbstick, buttons, etc. I have XBOX 360 gamepad and Logitech G27 wheel/pedal set. I don't want to modify the code every time I want to use different controller. Is this possible?

Yes

How do I create the game controller setup screens?

with panels and buttons, see in the manual