If you are used to diagramming with other tools, you may miss the functionality where you can put shapes on the canvas and they immediately connect to the previous shape. Creating diagrams with this kind of functionality makes for super-quick diagramming.
In OmniGraffle using the Diagramming Tool will give you this functionality.
When using this tool it makes sense to double-click on the icon to set the tool into the multiple usages.
Clicking anywhere on the canvas will place the shape currently selected by the Shape Tool in the Canvas Toolbar.
Notice the mouse pointer symbol to the right of the shape. The ...