Has anybody ever done a diagonal welt pocket similar to the attached picture except with a super bulky yarn? (smaller yarn is fine too) I asked my local store and they weren’t sure but thought they may be able to find out. I make big thick coats and I want to have some nice diagonal pockets for that maximum comfort 
Yes, I’ve done pockets like that for a child’s hoodie.
The construction is similar to a straight edge pocket except that you decrease along the pocket dges.
Can’t believe I’m saying this but if I were to try to do a pocket like that, I think I’d go with steeking the opening. (shiver) Obviously, would work best with wool yarn, but I’d do the following.
- Stitch around the planned opening.
- Cut the opening.
- Sew in the pocket. (I’d plan on a fabric pocket.)
- Pick up stitches along the edge of the top.
- Knit twice what I want the width of the welt to be.
- Fold over, sew down to the edge where I picked up.
- Sew down the ends of the welt.
I might actually even consider knitting the welt separately so I could do a tube and not have any edge stitches showing, then sew the whole thing on.
Neglected to mention, but I might also sew in some grosgrain ribbon for reinforcement. In a fabric pattern, there would be interfacing and facings serving that purpose, but not here.