A diminished chord is made up with a series of minor thirds, so C dim, Eb dim, Gb dim and A dim are essentially the same chord. The simplest way is to take the top four strings of the guitar. Fret the 1st and 3rd strings at (say the 3rd fret) fret the 2nd and 4th one fret lower (then he grabbed her...) Slide up three frets (then he tied her to the railroad tracks...) Slide up three frets (and then...) Along came Jones.

Fine the diminished chord which has the note you want in it, and there you go. For an A dim, start on the 1st string 2nd fret, your 3rd string 2nd fret is your A. Slide up three frets (that's the minor third) your 1st string 5th fret is the A.

Of course there are other chord shapes on the inside strings, but that's a good way to start.