It is recommended that players deposit Diamonds of Azzanadra in the bank as soon as they obtain them, as a level 116 stranger may appear and attack anyone holding one of these gems. Each additional diamond in one's inventory increases the likelihood of being attacked.
If you lose your diamond you can find another in the spot that you killed Damis. It will give a message saying, "The Diamond of Shadow seems to have mystically found its way back here..."
This diamond was formerly known as the "shadow diamond", then was changed to the "rock diamond", and then back to its current name.
If you would like a duplicate of this diamond, you can get one. Drop your diamond in the area you defeated Damis, and then hop worlds. Pick up the diamond in the new world, and then hop back to the old world and pick the first diamond back up.