This paper presents a review of techniques and considerations in the design and construction of high pressure, low temperature diffraction experiments. Also intended as an introductory text to new high pressure users, the crucial aspects of pressure cell design are covered. The general classification of common designs, and a discussion into the key beam interaction, mechanical, and thermal properties of commonly used materials is given. The advantages of different materials and high pressure cell classifications are discussed, and examples of designs developed for low temperature diffraction studies are presented, and compared.