I can't take credit for this script, it's the effort of Dmitry Rubinstein, who is not only one of the hosts of the Hacking Vox group, but has also created a number of other Vox and LiveJournal related scripts (see full list here).
Installation Note: If you scroll down to the very end of the comments in the announcement post, you'll see that this script is initially set up for all POSTS only. In order to make this apply to comments everywhere (audio, video, etc), you'll need to:
1. Go to Tools -> Greasemonkey -> Manage user scripts
2. Click on "Thread Comments"
3. Edit the Include pages to replace http://*.vox.com/library/post/* with this: http://*.vox.com/*
Enjoy your threaded comments!