I ran across this recording about 3 months ago. It is a recording that is open to everyone. It was recorded at SQLBits 7 with Christian Bolton as the speaker for a session entitled: "Consolidating data collection with SQLDIAG and analysing it all with SQLNexus". I found it very informative and hope that you will too.
SQLBits is a UK based conference that occurs twice a year and I can't wait to attend one personally from the stories that I have heard. They record the sessions and make each one available for FREE access - AMAZING! You can find this session at the following URL: http://sqlbits.com/Sessions/Event7/Consolidating_data_collection_with_SQLDIAG_and_analysing_it_all_with_SQLNexus. The imbedded video has both a video of the speaker speaking to the audience as well as a full screen capture of the presentation to make the replay even more vivid.
Christian walks through the basics of using SQLDIAG for Data Collection initially. He then turns his attention to SQLNEXUS as a tool to analyze the data collected in SQLDIAG. He goes through how to configure SQLDIAG to collect the necessary data (perfmon and SQLTrace data) with the SQLDIAG process in order to discover the items needed for further analysis. If you need to perform a relatively quick analysis of a server, check this video out to discover your "pain points" for a particualr server.
After viewing this webcast, I am positive that you will find that using SQLDIAG along with SQLNEXUS will make your job easier.