Starting at your root note, go up a half step, then a whole step, and then continue half step, whole step all the way up the scale. An alternative diminished scale is to begin at the root note and go up a whole step, then a half step, and continue whole step half step all the way up the scale.
For example, a C diminished scale would be C, C# (D flat) , D# (E flat), E, F# (G flat), G, A, A# (B flat), C.
An A diminished scale would be A, A# (B flat), C, C# (D flat), D# (E flat), E, F# (G flat), G, A.
Try improvising with some diminished scales, they have a nice mystical quality often used in Middle Eastern music.
