Throwing doesn't do much good by itself in this game. Especially using Diddy. Most of the time this question can be answered with another question: "Which way should I throw them that best sets up for a combo?"
Diddy's forward and backward throws set the opponent up for aerial attacks pretty well at low percentage. His downward throw I've found is a lot harder to follow up on, since it knocks them farther and not as high.
At higher percentages, throwing them off the stage leads well into a FAir K.O., a DAir spike, or several other good edgeguarding maneuvers. If you aim right, you might even be able to pull off an off-stage Hump directly from a throw.
Diddy's up throw can lead into a lot of things as well. At lower percents it can lead into aerial attacks pretty well, and at higher percents you might be able to finish them with an UAir.
In general, Diddy's throws are not great, but they can be good combo starters if you pick the right throw, and follow it up quick enough. I certainly wouldn't recommend grabbing all the time, as it gets predictable pretty fast. But it is good to mix things up. Diddy is all about being unpredictable.
