Try thinking about a diagonal in an alternative manner: to enhance, not hedge, your reason for adding the trade. For example, if the underlying is sagging and your existing position is generating long delta, you'd normally want to add some short delta. You could do this with a long put diagonal. There's no need to "hedge" the diagonal because the existing position acts as your "hedge" - you already have more long deltas than you want - that's why you're adding some short delta. If you use the put diagonal in this setting and your underlying continues to sag, your position will often improve more than you'd anticipate because of the long vega. And if you choose the strikes properly, you can construct the trade to eliminate risk to the downside.