I intend to use cherry MX switches for my keys,
Wow, these things seem to be getting popular. Both you and the other person I'm working with are using those keys.
according to the specs on the website, there are some with diodes and some without, should I get the ones with diodes, or should I get my own diodes?
Time to learn a technique in engineering called tradeoffs
If the cost of the keys with diodes is higher than buying separate diodes then it may be worth your time to do it yourself. External diodes also mean your build won't be as neat and clean so that's another consideration.
But from a purely technichal point-of-view it would be better to get the ones with diodes.