The quest for the perfect phone locking software is still ongoing. The most visually attractive solution, Slide2Unlock, does not work on the HTC Touch Diamond and Pro, leaving the Home key unlocked and also has a significant problem with battery usage.
The latest entrant to the field is StylusLock by ZuinigeRijder. The software, which promises no battery or processor drain beyond normal, works by locking and unlocking based on the status of the stylus in the stylus slot, using the stylus sensor only found in the HTC Touch Diamond and Pro.
Lock and unlock events are signified using vibrations, and the device is always unlocked when on power. Pulling the stylus in and out within less than 3 seconds will change the lock status.
While the software is promising I am not sure how convenient it is to pull the stylus in and out before you can answer a phone call. See the video above for the app in action, and read more in this related XDA-Developers thread.