When you say Compliance - are you talking just BSA/AML/OFAC or does that include the myriad of other compliance issues that pertain to Credit Unions such as the alphabet soup of consumer protection (Reg's B, E, CC, V, Z, RESPA, TISA, etc.) as well as Information Security, Record Retention, and Member Business loans?
Also - how large is your credit union - Assets/# of branches?
Depending on the size and complexity of your institution and the scope of what you need to assess and review, you may be able to do this yourself or you may need outside assistance.
You might try contacting CUNA and NAFCU for some of their compliance resource information. For BSA/AML/OFAC, you should probably start by conducting a Risk Assessment. BOL has some resources you check look into - http://www.bankersonline.com/bankerstore/bsaintropage.html
If you think you may need outside assistance, there are a number of knowledgeable consultants who post on this board.