Preferences? Save comment viewing preferences?

I feel kind of silly about not being able to find this myself, but does anyone know where the preferences/settings/whatever it's called button/page is?

Specifically, I'm currently having a problem where I tell the comments on a post to sort by Newest rather than Popular, but when I come back to the thread it's reverted. This seems like a preferences/settings thing, but I don't know where to find it.

Thanks!