Laser diodes come in many colours (wavelengths), Powers (milliwatts) and sizes (commonly refered too as cans or mounts) I am going to deal with the most common size a laser builder will work with, the 5.6mm can.
Some laser diodes are more prone to ESD (electro static damage) than others, if you get into the habit of grounding yourself when you are handling them you will give yourself a better chance of success.
Grounding wrist straps are available in most electronics stores or web sites.
The strap goes around the wrist, against the skin, the crocodile clip attaches to an earth point. The chassis at the back of a computer is a common connection used.
The laser diode will need to have a means of focussing its light, for this you will need a module.
There are many types available but the most common one is the Aixiz module which consists of a lens nut with a focus bezel, behind this is a spring to stop it moving once focus is set. The lens nut screws into the front of the module which has a reccess at the back to insert the laser diode in line with the lens. There is a screw on cover at the back which is large enogh to enclose a driver circuit.
To get the best power output from your laser diode you will need to open up the hole in the back of the plastic lens nut.
To make it easier to work on unscrew the lens nut from the module, turn it round the wrong way and screw it back in. You will see a small hole (Fig 1 above). Using the tip of a very sharp craft knife carefully cut radial incisions (fig 2 above) be very careful not to scratch the lens! Once cut use a pair of fine plier to lift all of the little flaps and cut them off with the craft knife (Fig 3 above).
It is very important that the laser diode is fully inserted into the module, Blu-ray diodes need to have the lens nut very close to them, if it is not fully installed you may not be able to focus the laser.
The laser diode will make better thermal contact with the module when it is fully pushed in as it will touch the front face of the reccess as well as the side. This is very important as, in general, you are going to be powering the laser diode to much higher output than it was designed for so it will get hot.
Installing the laser diode is best done in a vice to ensure that it goes in straight, it will need to be pressed in with a tube where the hole passes over the pins of the laser diode and the outside diameter is smaller than the size of the laser diode flange. I use a brake adjuster from a bicycle.
Installation is done like this...
Once your laser diode is successfully installed it needs to have wires or a driver soldered to it. This is covered here:-
Common pin connections