I would recommend pen & paper (or whiteboard) first. Once you know exactly what you want to draw, it becomes much simpler to actually draw it (e.g. in Gliffy, or Lucidchart, or PPT or whatever)

There are tools like e.g. https://www.websequencediagrams.com/ that make drawing some diagrams drastically faster & cleaner, but the general rule I observed is that you need to first focus on what you want to say, have that really clear, and then actually drawing it will be fairly effortless. But if you try to make up the diagram as you go using something like Gliffy, it can be really painful.