The method of paraxial complex geometrical optics (PCGO) is presented, which describes Gaussian beam (GB) diffraction and self-focusing in smoothly inhomogeneous and nonlinear saturable media of cylindrical symmetry. PCGO reduces the problem of Gaussian beam diffraction in nonlinear and inhomogeneous media to the system of the first order ordinary differential equations for the complex curvature of the wave front and for GB amplitude, which can be readily solved both analytically and numerically. As a result, PCGO radically simplifies the description of Gaussian beam diffraction in inhomogeneous and nonlinear media as compared to the numerical and analytical methods of nonlinear optics. The power of PCGO method is presented on the example of Gaussian beam evolution in logarithmically saturable medium with either focusing and defocusing refractive profile. Besides, the influence of initial curvature of the wave front on GB evolution in nonlinear saturable medium is discussed in this paper.