I'm an F1 student currently on OPT. I already worked on OPT once (after my undergrad) and I'm working again (on OPT) after my graduate studies. Back in 2006, at work I was advised to file a 1040EZ. I did that. Then last year I also filed a 1040EZ as I worked most of 2007 at the same place I worked in 2006.

This year I found out that I should have filed using 1040NR. What are your suggestions? I really don't know what to do and I don't want to have legal trouble.

Thanks in advance!

When did you enter the U.S. Your citizenship?

I entered the U.S. in 2005. I am a citizen of Costa Rica.

You need to amend the returns on which you filed the Form 1040EZ.

You will file Form 1040X and attach a properly-prepared Form 1040NR-EZ plus Form 8843.

Ask on the Form 1040X page 2 to have your non-resident alien status reinstated.

You can not file nonresident return unless you amend your 2006 and 2007 tax return.
Since you have already chosen to be resident and filed resident returns for 2006 and 2007, you may file resident return for 2008. You must pay SS tax and Medicare tax. Your country does not have any tax treaty with the U.S.
Read about F1 tax filing: Your U.S. Tax Return: The U.S. Visas

So, is it better if I pay SS tax and Medicare tax and keep filing as a resident or is it better to go back to nonresident and amend my previous returns?

You filed incorrectly in 2006 and 2007, and that is an error that must be rectified.

Continuing to file as a resident is NOT an option.

Agreed. You must file as a nonresident for 2008, even if you don't correct the 2006 and 2007 tax returns.