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".
Paul, might you modify the submissions page to have some guidelines?
Point people to the Feature Requests thread as they clearly don't notice the link at the bottom of the page. Remind them that this is Startup News so it would be good if the posting was applicable. Tell them where to find Slashdot if that's what they want. And explain that they are not the only ones with RSS feeds so they don't need to just copy links from there to here.
Personally, I think news quality has degraded since karma came along. Some people are clearly keen to move up the leader board and starting a new thread is one way to do that. How about not rewarding karma for a thread's score? It can still be voted up by others to show it's interesting but karma must be earned by quality comments on the thread. Either that, or let us down vote threads to penalise non-applicable threads.
(This might be a good idea for Reddit's feeds too...)