If I am trying to understand something pen and paper, because it is fast and it helps me think. If I am trying to create something for long term reference or I know that I might come back to the diagram in a couple of days and modify it because is something still evolving I try to do it digital.
Dia is fast and allows you to group, link and move things easily. I have tried ArgoUML but I don't really like UML and I just want the diagrams as a mind-map, not to generate code, so it looks overkill to me. I have also tried inskape but don't know the short-keys and I am slower.
Summing up: use whatever works for you, but I find that writing things down in whatever medium helps, you can not keep everything in your head and offloading to paper or just a bullet point list helps a lot to come back to the problem the next day or after some time.
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