I'm in a bit of a quandary; your place or mine?

I'm in a bit of a quandary.
I feel I'm still very new to blogging and would dislike to naively show no etiquette with my posts.
I've learnt how to attribute images to their source (Yee Ha!) and create links to refer interested readers to further information. (I thought I was a bloody legend when I worked that out!)
But, my problem now is with comments.

Do I reply to your generous feedback (I so appreciate your time!) on my own blog? (This is what I have been doing; mostly because the 'chain' of the discussion makes more sense)
Do I pop over to your blog to reply to you? (And then I know you're going to get my reply and not vainly presume you'll check back to see?)

I love it when I see a box that I can mark to receive e-mailed further replies on a comment chain but I don't offer this as I don't know how to do it. (Do you? Please share!)

What's your opinion / What do you do?

Thank you for stopping by my blog. You are very welcome and encouraged to comment; I love receiving feedback! It helps me get to know you too! 

x KL