I favourite them - as simple as that. It keeps things contained on HN and connected to HN and that's how I prefer it. Also I have them handy when I'm on the site and can look things up when writing my own comments. When I'm not on HN I don't need the favourites and should HN ever die I'll probably not need them anymore anyway. I think you can easily fetch them as JSON with the API should you want to have them offline. Only downside I can think off is if you want to remember a comment privately for some reason, but that never happened to me so far.