I don't have space for permanent dioramas, and even if I did, I wouldn't be able to have proper lighting for photography in all of them. So I build stuff I can take down easily, and make use of background flats. It's like theater, only smaller. I call it the infinitely variable diorama.
Just did a test with some of my current outdoors/wilderness stuff. Most of the stuff around the figures was built to be foreground elements, using camera angle to let them blend together. The big purple, gold, and gray thing is Transformers Fall of Cybertron Kickback, in insect mode.
I need to adjust the camera's white balance. This came out kind of grainy, and there's plenty of light. Obviously, I need to adjust my foreground pieces, so that they don't steal the focus. For the curious, this is on one shelf, of an old gray Plano shelving unit. The kind with the plastic tubing between the shelves.