1. In CMS click on the content types tab, then blogs.
2. Scroll down and under "Display Templates" click on the display template for a blog post. May be called something like "User Entry Form" or "Single Blog Post"
3. Now you will see the blog post template, find the box that contains the comment entry form. You'll see "Please leave a comment" and then a box surrounded by a gray dotted line.
4. Right click inside the box and pick "Manage Add Comment Form". Now you can just select the radio button for "Moderated" and that will ensure that all comments must be approved before they are posted. You can also check a box to require users to login before posting a comment.

Note: Take precaution when making adjustments to templates as working in the WYSIWYG can sometimes cause code to break. Make sure to save a copy of the page before saving any edits.