advanced-indexing
n = 100
Zout = np.zeros((n, 4, 4, n))
I = np.arange(n)
Zout[I,:,:,I] = c
eye-masking
n = 100
mask = np.eye(n, dtype=bool)
Zout = np.zeros((n, 4, 4, n))
Zout.transpose(0,3,1,2)[mask] = c
In [72]: c = np.random.rand(4,4)
In [73]: %%timeit
...: n = 100
...: Zout = np.zeros((n, 4, 4, n))
...: I = np.arange(n)
...: Zout[I,:,:,I] = c
10000 loops, best of 3: 47.5 µs per loop
In [74]: %%timeit
...: n = 100
...: mask = np.eye(n, dtype=bool)
...: Zout = np.zeros((n, 4, 4, n))
...: Zout.transpose(0,3,1,2)[mask] = c
10000 loops, best of 3: 73.1 µs per loop