Alright, time for a little physics.
Hammers are the real topic here, right? In spite of the dalliances into swords and suchlike. So I'll stick to hammers.
First: A warhammer made of a dense, malleable metal like gold or lead will deform on impact and some kinetic energy will be lost with deformation. In addition, the impact will be spread out to some degree. The weapon would of course become increasingly less effective with subsequent strikes, but that's unimportant for current DF.
Second: Taking a normative approach to weapon size and mass, a lighter weapon is easier to swing and control, and recovery for the user will be much faster. It's also less tiring to use. However, given the effective range and leverages in which melee weapons are used, a heavier weapon (if the user can effectively swing it) will always deliver more energy per blow. This is even more the case when the user utilizes gravitational potential energy effectively.
Third: plating a soft metal with a hard metal requires that the two will chemically bond, and doesn't offer any practical advantage. The traditional method for increasing the mass of a weapon without compromising its strength or increasing its size is to hollow out a forged weapons-grade metal and fill it with a denser metal. An easy example is a lead-filled mace, although it wasn't unheard of to simply fill wooden clubs with lead to fill a need for highly effective weapons using limited resources.
Lead is common, with a low melting point and high density. Any advantage gained by using a rare metal like gold instead will be negligible. Of course if you could refine and use uranium or the like in DF, that would be a different story.
Edit: Oh yea, and diamonds are brittle like all crystaline solids. That is why even cheap industrial diamonds are not usually used to bash things.