Yes you can. If you go to Settings on the Blog and check the 'Yes' option for Comment Moderation this will allow you to approve each reply for it to be published. 

This applies globally to all of your posts and cannot be turned off or on for individual posts or articles.

To review your replies simply go to the Comment List and then Approve or delete the comment. Once a comment has been approved it will appear against the post in the Post List in the Comments column.