Just like WP-PageNavi, the WP-CommentNavi plugin adds advanced pagination for paginated comments.
The Graphene theme natively supports WP-CommentNavi, so all you have to do is install the plugin and activate it. The plugin will then work right away using its default configurations, but you can configure the settings yourself.
The theme's default comment navigation without WP-CommentNavi
More advanced comment navigation with WP-CommentNavi installed and activated
