I assume you’re asking how to get the link to point to different locations for different weblogs, right? Remember, a “weblog” is simply a container of data, it’s your Template Group and Template that determine what is displayed, so what you’re really wanting is to “get the Template Group and Template in there right”.
EE provides a way to do this easily. Under Admin > Weblog Management, go into the preferences for each weblog and set the “Comment Page URL” setting. Typically, it would be something like http://www.example.com/index.php/weblog/comments/; set it to where you want the individual entrie displayed for each weblog.
Then, in the code you have above, use the {comment_entry_id_auto_path} variable instead of the {title_permalink=} one:
<li><a href="{comment_entry_id_auto_path}">{title}</a></li>
