How do I defend once I've got next to the player I'm marking? I can press circle and he just stands bolt upright and covers his groin, what's the point in that? I know square to to steal, so what else do I do besides jump in the guys face?
It's mainly that I seem to be marking a player, but the CPU will still pass the ball and it'll complete the pass.
Besides what Stuart told you, notice that the main deffensive thing to do is to "shadow" your opponent. Don't be obsesses in stealing the ball, that usually leads to bad defense, easy points and fustration.
The key is to make their shots difficult. Don't let them get in the paint, don't let them shoot open, don't let them do plays smooth. If you do this and when they shoot you're at their face they will score some anyway, but at the long term they miss plenty.

is an interesting button to use in different ways than you may think. Press it when someone quicker than you is getting a drive to the rim. Sometimes, if you time it well, you can put a hand when they start the jumping movement and touch the ball, dispossessing them. Or fouling them (which sometimes it's very useful). It's a common thing in reality, actually. Passing interceptions occur rarely BUT REGULARLY if you try to see the passing lanes and move well. But it's hard at the beggining, so I strongly advise you to stick with the game and try simply to get a decent defense. Even if they score, if you made it difficult for them, then that's a good defense.
I played a match yesterday with the grizzlies against the mavericks. Nowitzky was destroying me with easy shots. I tried to double team but that allowed easy jumpers from the rest of the squad. Then I tried to have a loose defense up, to lure him to score from far. But then Nowitzky would simply receive, turn and score! And if I went to him to block the shoot, he would dribble and have a clear path to score, as he was quicker than Randolph or Gasol. He was making shot after shot.
Here comes the greatness of the game. My solution was defending tighter the rest of the Dallas players to prevent them from passing to Dirk, specially Jason Kid, who was getting easy passes to Dirk in the upper post. First, by moving always slightly to where Nowitzky was and blocking the straight passing lane, EVEN if that let an open lane to drive in to Kid. But Kid is not fast anymore and it's not specially awesome from distance, so it's a good gamble. I prefer Kid scoring than Nowitzky.
Then, also I tried to annoy Kid and don't let him do the pass to the post. A very GOOD USE of the "reach in" (

) I discovered is to watch out for Nowitzky. When he was going to the spot where he had to receive the pass I would reach in with my PG to Kid. I knew I WOULDN'T get the ball at all. BUT, and here is the key, trying to reach-in most of the time prevents Kid from doing the pass at that moment, thus delaying the play. It's enoug of a delay to allow Randolph to get to Dirk so he doesn't have an easy shot by turning and jumping.
It's great to improvise this things. I ended up winning by 10 (12 minute quarters) at Dallas with my Grizzlies. Nowitzky "only" scored 34 points, but only 10 in the second half. So that is a good example on how to develop your game DURING a single match and improvising things depending on your opponent.
As Da_Czar says in operation sports, don't play videogames, play basketball.
PS: Oh, and I definitely liked the Grizzlies, so get those Golden State Warriors in shape because the bear will make them look like John Marston.