well the options i can think of are:
1. if diddy shoots a banana at you just grab it, throw it on the ground for some broken nuts
2.if the set up is near diddy, pick one up and create your own set up
3. if diddy throws it at you grab it and shield, this makes all your ariels usable,but if your mk you have your b moves.
4. bananas from the sky, grab one and use it, dont just let it drop on the floor
5. diddy's ledge stall is too good just let him get back up, but DO NOT GIVE HIM ENOUGH SPACE TO BANANA SETUP!
basically neutralize diddy's bananas by either using them in your own setups or don't let him setup.
i think it would be good to use diddy in practice and learn his setups so you can predict better what a diddy is going to do.
diddy is not the best in the game. he can't shield drop a banana like snake lol