Actually, they can be strip pieced. I did a similar border with squares set on point.

I've got the instructions ... will PM you for e-mail. I'll scan and send.

I want to make a border of diamonds the picture is a sketch of finished size 2" x4" .
Does anyone know of an easy way to make them or am I stuck cutting out them 1 by 1 and adding triangles?
Oh gosh! I asked myself the same question then I discovered Strip Piecing Diamonds" - WONDERFUL. Here are a couple of urls you can check out.
http://www.youtube.com/watch?v=mtZtxWAhw20
I have tips for you if you want to email me [email protected] also some tutorial files I can send you as attachments.

Have you looked at quilterscache.com - the border instructions are pretty good, and you could tailor them to the size you want. I recently did the harlequin border for a quilt. The diamond paper-piecing template might also work for you.
http://www.quilterscache.com/H/HarlequinBorder.html
http://quilterscache.com/D/Diamond4PatchBlock.html

I can feel your pain. I am doing the same thing with diamonds. I am pping them. much easier and "quicker" I have been working on the off and on for over a year. (ran out of fabric and took about 3 months to find it then got in a car accident and couldn't sew for about 6 months then couldn't sit and sew for more then 20 min at a time.) good luck it will look really really great when you are done.