To archive a single comment:
Click "permalink", then archive that url (should have the number of the submission at the end of the url / the number of the comment)
To archive a small group of comments:
Go to the bottom-most comment, click "permalink", add "?=3" or "?=20" to the end of the url and archive. (The number at the end determines how many comments above the bottom comment you want to show)
To archive the entire thread or a part of a thread greater than 20 comments
Go to the bottom-most comment, click "permalink", add "/0/" to the end of the url and archive.
*The entire process is immensely simplified if you go to archive.is and drag the bookmarklet button available at the top of the page into the toolbar of your internet browser.