If you go the A-B route, you need to make sure your probes or matched, or at least the same model.
If you want to try DIY-ing a differential probe, there have been a couple of recent magazine articles (downloadable from the magazine websites for a fee):
Elektor USA, Sept. 2010: High-voltage probe (home made and differential, too) by Alfred Hesener.
Nuts and Volts, Nov. 2010: Oscilloscope probes and probing by Robert Reed. Actually, I see that this is a high-speed active probe, but not a differential one. Still, it includes a nice discussion of problems that can occur when probing circuits.