Commenting in part to save this thread for later reading when someone more knowledgeable gives a full answer.

Here is what I (think I) know:

• It is possible to follow Lemmy users on Mastodon, which gives you threads they start in your feed, but not comments they make (I have not really tested this, but this is what I remember reading).
• It is possible to follow Lemmy communities on Mastodon, which makes those communities appear as bots that share everything (posts, comments) posted to them (I have done this accidentally before, not realizing that an account I was following was actually a Lemmy community, then wondering why it was only boosting Lemmy posts until I figured it out).
• It is possible to post to Lemmy communities from Mastodon. I don’t know how exactly, but !kde@lemmy.kde.social is a community that gets a lot of posts like that, e.g. https://discuss.tchncs.de/post/27370850?scrollToComments=true - looks like they simply tagged the community? I am not sure how this works and have never done this.
• If you are seeing a Lemmy thread or comment on Mastodon through one of the above methods, you can reply to it; you can usually tell when someone is doing that when they put @ links to the people above them in the thread into their posts. Here’s a thread full of examples: https://discuss.tchncs.de/post/27508474?scrollToComments=true