I measured a piece of yellow Monokote as close to 6" square as I could get it. I then mounted it in the jig shown below. I used rubber bands to provide a very gentle tension on the Monokote. I hit it with the heat gun, as if it were a wing panel. I measured the results. Each way was as close to 5-15/16" as I could measure.

I know this isn't the most precise science, but I think it shows that if there is a difference in shrink factor, it is subtle. It is certainly not like it shrinks twice as much in one direction as the other. Given the limits of my measurements, it could certainly shrink say 20% more in one direction than the other, but I doubt it would be noticable, given that you might pull the cold Monokote tighter in one direction than the other much more than the 20%.

To really get a good take on this, you'd probably have to use a 24" square piece, which I'm not ready to sacrifice until I see some more science from those of you who say it shrinks dramatically more in one direction than the other.

Until then, I say, put in on the wing in the way that minimizes your waste. That's what I do.