What technique should I be using to set a custom white balance i.e. white card, grey card, white balance lens cap etc or does it depend on the situation?
Buy a white-balance card. Make sure you place it in the same light as your primary subject.
I use a plastic card which is white on one side and grey (for 18% metering) on the other. I bought it at a local photo store but I don't remember the brand and there's no markings on it, it simply fit the description of what I was looking for.
Our eye is terrible at discerning neutral colors in the scene, which is pretty much why we need white-balance in the first place. We don't see the true colors because our brains compensate and then we complain when the camera does not show us what we saw! So white-balance was invented. (OK, over-simplified but you don't want to read the full explanation do you? ;)
For creative photography I dont bother. The "correct" white balance (if it even exists, many scenes with different coloured lightsources have no single white balance) is rarely the one that looks most pleasing so I pick the balance in post that looks best. White balance alters the emotion of a scene from cold stark blues to happy warm oranges and is part of your creative arsenal, not something to be trusted to an inanimate object.
It can be useful to shoot a custom WB to save time and get you close, and for this any fairly neutral constant tone object will do, white paper is usually the closest to hand.
IMO it's not worth spending the money on specially made white balance solution once you realise that every single object in a scene reflects light onto every other object, meaning any white balance you get is aproximate. You'd be amazed how much better things look when lit by a single source of white light in a black studio which is free of the dirty mixed up secondary reflected reflected light!
If you're doing any sort of calibrated commercial or scientific project that requires accurate colour reproduction shoot a Gretag MacBeth colour chart in every scene/camera angle.
This is much more effective than a grey card as in addition to white balance it checks the full color rendering ability of the lightsource and your camera and allows you to compensate for inadequacies in parts of the spectrum by building a custom colour profile.
I've not used one of the white balance diffusers, and instead prefer to set or calibrate a custom white balance, from something of neutral tone (White/Gray/Black) lit under the same conditions as the eventual subject.
There are a lot of things that can be improvised with a known even tone, and it's one of the reasons I have my business cards on white card, and are a lot cheaper than having an expo-disc (or equivalent) for each filter size for all my lenses.
Most cameras can set a custom white balance by taking a picture of something white. I used to do this all the time with my Nikon DSLRs, e.g. take a picture of a piece of paper, or a table cloth to set the white balance.
(I own a grey card, but never have time to use it or have it with me. Now I shoot RAW and fix the white balance in post).