Just my 2 cents, but I'm not a big fan of threaded comments - not that they don't have their place. However, I find that threaded comments tend to encourage "comment discussions" - i.e. users responding to comments, rather then commenting on the actual item itself. In other words, comment threading encourages users to go off topic.
I know some really want it though, and like Paul has pointed out the vote up/down is already doable with the jrLike module, but real comment threading requires a "respond to this comment" setup, which the comment module does not support at this time. However, the Disqus module supports threaded comments:
https://www.jamroom.net/the-jamroom-network/networkmarket/13/disqus-comments
Hope this helps!
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Brian Johnson
Founder and Lead Developer - Jamroom
https://www.jamroom.net