Was following up with questions on my blog and it really bugged me that my replies to comments didn’t appear as replies to user comments. They just appeared as a totally new comment down the line.
I enabled nested comments under Settings > Discussion, but it didn’t change anything. I noticed there was nothing in the code to differentiate between first and second level comments.
Finally, with a little more research I was able to find a helpful article on this, which mentioned using the WordPress Thread Comment plugin. I installed the plugin, and it works exactly the way I want it, even on existing comments.
In your WordPress admin area, go to Plugins > Add New and search for WordPress Thread Comment. Install and activate the plugin and make sure that nested comments are enabled under Discussion, and you’re ready to go!