In case you haven't seen it, I've recently added a Tutorial to the help file and web site:
http://www.autohotkey.com/docs/Tutorial.htm
It's not exactly what you suggested (lacking screenshots, etc.) but it's designed to be quick and straight to the point. And about screenshots: in general they seem a little bit overkill for AHK, since it lacks much of a GUI and is intended for users who at least have some basic knowledge of text file editing, directories, shortcuts, etc.
That's just my opinion and I'm open to ideas about which particular screenshots would be more useful than the text equivalent. The advantage of text, such as the examples shown in the Tutorial, is that you can copy & paste it into a new notepad window, save the file as a script, then run it for yourself.
Your idea for a diagram is good, and will go on the to-do list along with improving the Tutorial to cover more of what you suggested. Of course, you or anyone is welcome to submit additions to the Tutorial or any of the documentation, as well as contribute to any other aspect of the project if/when you ever find time to do so. The feedback you've been giving is already quite valuable.