I just got a new blow drier for xmas too, and like you, Ive never used a diffuser. So I did a little research, theres quite a few different types of diffusers, but it sounds like we both have one called a "finger" diffuser (the kind with lots of pointy stick things).
Ive used mine twice so far, using two different methods. For the record, my hair is somwhat wavy, but I usually straighten it every day. Its also quite fine and doesnt usually hold a curl at all. The first time I used it I tilted my head to the side so my hair hung down, and just kinda let my hair fall into the diffuser and wrap around the fingery things and held the dryer against my head for a few seconds. I did this section by section till my hair was dry. Through this whole process I left the dryer on, so it was kinda hard to get my hair properly sitting in the diffuser. My hair got wavy and curly, but overall it was pretty big and poodle-like.
The second time I did it (Today), I did the same process of hanging my head to the side and letting my hair fall into the diffuser and pressing it to my head, but only turned the dryer on once it was in position. I let it dry for a few seconds, turned the dryer off, and then moved it away from my head. I did this section by section (and turned the dryer off and on like 80 times) until I was done. My hair turned out great! I barley had any frizzies, my hair had definite curls/waves and I got a ton of compliments!
I hope this helps a little, and that it makes some sense! Good luck diffusing, and if you find another method let me know because Id love to hear other ways of doing it!