A good place to get this achievement is on the Episode II level "Breaking Camp": after you defend the fuel depot you'll get a message to grab a weapon from Tesla's lab. Instead of getting the weapon, just fly around The Ark with your jetpack; UFOs will keep respawning endlessly in this area, which makes this an ideal place to get Grand Theft UFO and a few other flying-related achievements.
Hijacking a UFO is easy enough: press B when the prompt appears to latch onto the ship, and then do the minigame - which is the same every time - to hijack the UFO. After commandeering the saucer, press B to eject from the craft and do it again.
Sometimes the UFO will flip around in an attempt to toss you off; just tap X or Y (whichever one pops up) to maintain your grip.
To make hijacking a bit easier, start tapping B as you approach a UFO/it approaches you; the button prompt will often register and you can still grab the the saucer even if it has flown past you.