Anything would be better to what we have now. Right now I need to bookmark the link, visit it every now and then and search for my username... It's pretty bad.
For what it's worth, I do just what I said: I go through my list of comments occasionally, and see if any of them has grown a thread. If there's only one in which you're interested then this method is no easier; but it's a nice way of keeping tabs on all of them (or at least the most recent ones) at once.