Thanks for the hot tip. And fast response - 7 minutes!
Just in case anybody else has the same problem here's how I fixed it.
1. Created a section called "comments" and a category called "comments".
2. Created an article called "comments page" - selected "comments" for category and section.
3. Created a menu item called "leave a comment". Under "menu item type" I selected "article layout". Under "parameters basic" I selected the article that I just created, called "comments page".
4. Under "components" I selected "!joomlacomment" then "other component settings". Under "exclude/include" I selected "include". Under "exclude/include categories" and "exclude/include sections" I selected "comments".
Not exactly intuitive, but it worked!