Listen to native speakers. Copying their pronunciation can help you master diphthongs. She practiced saying 'coin' to perfect the diphthong.
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Spelling vs. Sound
Diphthongs may not always be spelled as two vowels next to each other, so focus on sounds, not just letters. 'Phone' has a diphthong even though it's not obvious from the spelling.
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Varying Diphthongs
Diphthongs can vary in pronunciation across different dialects of English; they're not always pronounced the same. The diphthong in 'about' sounds different in American and British English.