Exporting diagrams from Dia into LaTeX (with LaTeX fonts etc) is quite easy once you figure out how to do it. There are several TeX exporting options in Dia, but this is the only one that I could get to produce satisfying results.

Using Dia 0.97, or later, export the diagram as MetaPost. Then run mptopdf on the exported metapost to get a shiny pdf to include in the LaTeX document.