What's the proper way to create a new page option?
The easiest way to to use Views.

You can create a view over Comments, or you can make a view over Content and then add a relationship to the node's comments.  There are advantages and disadvantages to both.  You just need to play with them to see what works best for your situation.  

With either method, you can use any of the normal means for adding a view to you site.