Setting Key Constraints using a Diagram I been using SSMS for diagramming my databases and I got used to create the key constraints with this tool. Now I started thinking, while going through related chapter of a book, "...maybe this is not such a good practice"

Is there any downside towards this practice? That is defining key constraints using the Diagram Designer on SSMS?
I would suggest NOT to use Designer in creating key constraints or doing any DDL / DML operations.

Best is to use T-SQL - much flexible, more options, more powerful and you can automate many things with it. There is a learning curve, but its worth learning TSQL rather than keep using GUI.

Also, make sure you are using the latest version of SSMS - sql server 2014. Download it from here.

Read up : Managing SQL Server via Management Studio vs TSQL Commands

e.g. From BOL 

ALTER TABLE dbo.DocExc 
   ADD ColumnD int NULL 
   CONSTRAINT CHK_ColumnD_DocExc -----&gt; This is your constraint
   CHECK (ColumnD &gt; 10 AND ColumnD &lt; 50);
GO