By A Web Design
For Comment Pagination to work, first you have to download, install and activate the plugin, in WordPress.
NOTE: Please click here to refer to tutorial for Downloading the WordPress Pagination Plugin Description and Download.
NOTE: Please click here to refer to tutorial for Installing and Activating the WordPress Pagination Plugin Install.
After activating and installing the WordPress Pagination plugin, you have to make changes in your template file for pagination to be displayed on your website.
For comment pagination you have to open the current theme files where you'd like pagination to be used. Usually this is the comments.php file.
In the left menu, locate the link Appearance. Click on Appearance, the drop down menu as shown in Diagram 1.

Diagram 1
From the drop down menu that appears click Editor as shown in Diagram 2.

Diagram 2
The editor window opens displaying the specific theme CSS styling codespec as shown in Diagram 3.
Locate the comments.php file displayed in the right hand column of the Editor page.
Click on comments.php file as shown in Diagram 3.

Diagram 3
Locate the following codespec in the editor window.
Code 1:
NOTE: If you are using the default theme “Twenty Ten” of WordPress 3.0.x, you will find the above codespec in comments.php file.
NOTE: The codespec may vary for different themes. So search for and locate the methods previous_comments_link() and next_ comments _link() in your current theme.
NOTE: If you do not find the above Code 1 codespec in your template then directly paste the Code 2 codespec at the bottom of the file.

Diagram 4
Replace the above codespec with the following block of codespec as shown in Diagram 5.
Code 2:
After pasting the codespec, click on Update File, in order to make the changes saved as shown in Diagram 5.

Diagram 5
The message that the “File edited successfully” is displayed as shown in Diagram 6.

Diagram 6
Do the following to ensure that WordPress knows the number of comments permitted on a Blog page.
In the left menu column, locate Settings. Click Settings. From the drop down menu that appears click Discussion as shown in Diagram 7.

Diagram 7
The Discussion Settings page opens as shown in Diagram 8.

Diagram 8
Check the checkbox for “Break comments into pages with [ x ] top level comments per page and the [ y ] page displayed by default”.
Enter the value for ‘x ‘and select the value for ‘y’ as shown in Diagram 9.

Diagram 9
After setting these values, scroll down the window and click on Save Changes, in order to make these changes permanent as shown in Diagram 10.

Diagram 10
The message “Settings saved” is displayed as shown in Diagram 11.

Diagram 11
On the frontend of your website, you will be able to see the pagination for comments as shown in Diagram 12.
NOTE: In the frontend of your website you must receive more comments on the Blog page then the number set for pagination.
NOTE: As the settings is set for break comments into pages with 2 top level comments per page and the last page displayed by default. Comments will be displayed with the older comments at the top of every page, the output is displayed as per your settings as shown in Diagram 12.

Diagram 12
NOTE:
There are total 6 comments posted for this blog post. Pagination is set as 2 comments per page. Hence the number of clickable links displayed are 1/2/3 with a << icon or >> icon displayed as required as shown in Diagram 12.
This was to demonstrate multiple pagination links on the Home page.
Usually the number of Comments is set to 5 or 10, instead of 2. Please feel free to choose whatever number of Comments you want to display on the Blog page.