The electronic spin of the nitrogen vacancy (NV) center in diamond forms an atomically sized, highly sensitive sensor for magnetic fields. To harness the full potential of individual NV centers for sensing with high sensitivity and nanoscale spatial resolution, NV centers have to be incorporated into scanning probe structures enabling controlled scanning in close proximity to the sample surface. Here, we present an optimized procedure to fabricate single-crystal, all-diamond scanning probes starting from commercially available diamond and show a highly efficient and robust approach for integrating these devices in a generic atomic force microscope. Our scanning probes consisting of a scanning nanopillar (200 nm diameter, 1-2 μm length) on a thin (<1 μm) cantilever structure enable efficient light extraction from diamond in combination with a high magnetic field sensitivity (ηAC≈50±20nT/Hz). As a first application of our scanning probes, we image the magnetic stray field of a single Ni nanorod. We show that this stray field can be approximated by a single dipole and estimate the NV-to-sample distance to a few tens of nanometer, which sets the achievable resolution of our scanning probes.