I have run into a number of people, including Calvin from Cairo, who swear by the diagonal weave on the pin loom. If you have not tried it, you can find the original directions below. I have posted them because when I went to find sources for these instructions online I couldn't find any. Diagonal weave instructions were originally included with other beginner instructions with the Weave-it Hand Looms and Loomettes.
I would also recommend that you take a look at Constance Hall's very clear directions, Weaving Twill on the Zoom Loom, found at Schacht Spindle, the manufacturers of the Zoom Loom.