As much as there are defined ways and methods to conduct a TNA, it's simply a case of persuading the client/department manager/employee to open up and to explain what they find difficult, what they feel uncomfortable doing, and openly discussing their jobs.
Group discussions, individual sessions, questionnaires, work-shadowing, opinions of co-workers, superiors, quizzes are all useful ways of collating information and determining where the performance gaps lie.
This TNA could be carried out in a broad sense company-wide to determine what performance gaps there are regarding all skills and abilities, or it could be limited to a skillset area that has already been identified as needing improvement (English language, sales techniques, presentation skills, etc.).
Once this information has been collated and analyzed, it is then up to the training company or HR/Training specialist/manager to devise a method to deal with the situation.
Remember, the answer is not always training; the solution could lie in an incentive scheme, a hierarchical reshuffle, or some other non-training idea.
A man is asked to dig a ditch that is two feet deep:
If the ditch-digger does not know how to dig a ditch two feet deep, then it is a training problem.
If the ditch-digger knows how but did not do it, then it is some other type of performance problem besides training.