Sadly, the only way that I know to do it is what you mentioned; go first to the entry, and then click post a new comment. I'm not sure why the site isn't designed to have the feature on the mode=reply page. :(
One of my little peeves with IJ - as on the whole, the site's fine - would be the lack of new features being rolled out. I know people are keen on this same thing you want (and also on the edit comment feature), but as far as I've seen, no progress towards these features has been made.
Please, someone correct me if I'm wrong, as I'd be psyched to hear it! XD