Usually they get mounted in a waveguide. A thin mica washer goes up at the top of the guide wall, with a metal washer against it. This forms a RF return capacitor, and the pin sticks thru both washers and up thru the waveguide into a microwave choke, DC and IF output is then taken from the pin. Amateurs skip making the multidisc choke, as it is difficult to machine.
The small flat area around the pin holds the washers against the waveguide. A clamp surrounds the bottom metal section as the return, and is connected to the waveguide. Soldering is lethal to the device, due to the low melting point solders used to mount the diode/semiconductor and whisker that contacts the diode.
There are also coaxial holders of a different construction.
Any of the RSGB microwave handbooks on VHF/UHF and Microwaves have a picture of the mount and how to construct one..
If you can find the MIT Radiation Laboratory (radlab) Handbooks on line, you will learn more about these "detector" diodes then you ever wanted to know.
Here is another way... Its missing the note to have mylar, cellophane tape, or kapton film around the choke body...
http://www.next.gr/sens-detectors/10GHz-waveguide-detector-circuit-diagram-for-amateur-radio-l59473.htmlSteve