When you post, you have the option to make comments screened. Its simple- no filters needed. The only thing to remember is that when you reply to a comment, it will be UNSCREENED until you go to the page and re-screen it.
Screened comments will also appear as grey on the page, and only you, and the person who posted, will be able to read it.
Screening a comment on the page is just hitting that eye with a line through it you see next to each comment.
Setting a post to screen comments is on your update page is under "screen comments" in the grey box. Just set it to 'all comments"
If you use semagic, its at the bottom under "screen replies"
If you have any questions, just poke. :D