My colleague and friend, boB Taylor (the spelling is not a typo – please visit http://www.opsvault.com/meet-our-contributors and see why) has recently released a GUI tool which allows you to configure the XML files required for SQLDiag to capture specific types of events, counters etc.)
Download it from http://sdct.codeplex.com
Please review, test, blog about it and provide feedback as you see fit.
bOB blogs at OpsVault. His posts can be easily retrieved from http://www.opsvault.com/author/bobtay/