Visit your blogs and you will find a Reply link along with a delete link
below each comment. Clicking the reply link will open the comment form
just below that comment so that you could post a threaded reply. It will
work just perfectly. :)
Customizing Threaded Comments
The threaded comment style will override your current comment style
format. In order to customize the comment body completely to suit your
preferences I am sharing below the CSS code required to edit the style
sheet for the comment block.