Diamond Frost Euphorbia is a dazzling plant. There are shops who sell them each year. But I want to do cuttings to fill more pots. Are there any pitfalls to avoid? Soil, moisture, light? Any suggestions will help.
Wear gloves if there is any chance you are allergic to the milky sap common in euphorbias. (If you are allergic to latex or if you've have an allergic reaction to poinsettia plants in the past, then you'd likely suffer irritation from having the sap make contact with your skin.)
Take cuttings, root them in water. Within 5-10 days you should have roots between 1/2" to 1" long. As soon as the roots are about 3/4-1" long, you can transfer them to a large container or multiple small containers filled with a good soil-less mix. The reason you don't leave them in water for long is two-fold. First, Diamond Frost is prone to a couple of fungal diseases, so getting the rooted cuttings out of the water as soon as possible will lower the chance of a fungal disease striking while the plants are in the water. Secondly, plants develop one kind of root when rooted in water but another kind when rooted in soil (in terms of how the roots operate to take up nutrients and water---visibly you would not observe a difference). Since your Euphorbias ultimately will be growing in soil, it is best to get them growing that way as soon as possible after they root. But, since most Euphorbias root in water so quickly, that's a great way to start them.
You can lessen the chance of having disease develop while they are rooting in water by pouring out the dirty or used water each day and replacing it with clean water.
For future reference, some people in the past have had their Diamond Frost plants drop seed that germinated the next year. So, watch for that because you might get plants worth using, though they likely are not going to be 100% identical to the hybrid mother plants.
Hope this helps,