There must be a reply option under each comment, So that I click on it, and reply to that comment directly, rather than writing new comments, again and again!. (for example: see facebook)
Are you asking for replies to a comment to be displayed under that comment, instead of at the end of the full list of comments? If so, I think you may be using comments for something beyond what they're intended for. Comments are meant for requesting clarification and suggesting improvements to the post, and sometimes for linking to related resources. A threaded discussion model is overkill for that.
You can usually reply to a comment by just starting with "@author" (using the name of the comment's author). In the few cases where that's not clear enough, I would use something like
@author (4 comments up): blah blah blah
If even that doesn't work well enough for you, you should probably be using chat instead.
You may find the "Reply" links on comments userscript useful.
For completeness: there may be something to this idea, if it helps to encourage a request-response model of commenting. But it would have to come along with further constraints on commenting, of the sort being discussed on mother meta.