Choose your Persona
Choose a persona with a strong elemental resistance against Ice and Thunder. Blackfrost and Succubus are good choices for this encounter. Blackfrost absorbs ice which means he would be mostly immune to most of Shadow Naoto's spells. The succubus can reflect the fire spells thrown by Shadow Naoto.
Choose a Healer
Put Yukiko on the healing task during the encounter. Her persona is perfectly capable of handling the healing for the battle, plus Shadow Naoto is resistant to fire, so most of the fire persona skills will not do as well during this encounter.
Repel the Magic Attacks
Use a magic mirror or Marakarn to repel Naoto's abilities. After taking a significant amount of damage, Naoto will use Ziodyne a lot. Just use Marakarn or magic mirror again to repel the attacks. Makararn repels a single magic attack from an ally, which could save your life from all the debuffs and status effects cast by Shadow Naoto.
Debuff Naoto
Cast Rakunda to decrease Shadow Naoto's defenses and attack as hard as you can. Rakunda is cheap and very effective, costing only 12 SP. It decreases Shadow Naoto for three turns, allowing you to hurt the boss as much as possible. Using Rakunda is often a recommended tactic on all bosses due to their high defenses.