You must have threaded comments v2 installed for this to work. Edit blog template, expand widget templates, find lines:
<b:includable id='comments' var='post'>
<div class='comments' id='comments'>
<a name='comments'/>
<b:if cond='data:post.allowComments'>
After those lines, just before line that contains <H4>, add this code:
Save template. You're done.
