We do (look at the source) but most feed readers seem to ignore it. If anyone can tell us how to format the feed so that stops happening, we're all ears.
Maybe try generating an Atom feed? Atom seems to be much better defined than any of the myriad competing RSS implementations.
Or maybe toss a hyperlink into the description tag rather than the comments tag ... from what I see in the RSS 2.0 spec, comments is a more of a "should" rather than a "must". The spec itself refers to it as an optional element, and Winer (I think) says in a note that implementers "should" support it. Clearly some of them don't. :-)
Someone mentioned below that it's working on Reddit. I just looked at their feed, and it looks like they are indeed putting the comments link inside "description" rather than "comments".