If you are just looking for a visual representation then you should investigate textures in the appearance section. If you want a physical diamond knurl then it will be MUCH more complex using a bunch of path-driven sweeps. This will really bog down your computer so I recommend the visual texture option if that will serve your needs.
I would agree with what dennis has said but if you really want to physically represent the knurled texture take a look at this video below:
will hopefully get you started