But the problem is that, by default, Visio's lines are set as Right-Angle Connectors and thus I couldn't create diagonal lines.
Anyways, to create diagonal connectors, just connect the line and then right click on it and change the routing to 'Straight Line' :
![](http://4.bp.blogspot.com/_xl08dEExoZk/SuIBtxtgQeI/AAAAAAAAApY/_MPeDTKP8vc/s320/VisioDiagonalLines.png)