how to create a "my comments" view
Yes, add the contextual filter "Comment Author uid". Then, under the section "When the filter value is NOT available", select, 

"provide a default value". 

You can then select:

"User ID from logged in user" 

or 

"User ID from URL". 

To use the latter, you will have to display the view as a block on a page that has the user->uid in the system path, such as the user account page (user/%uid). If you use the former, the view can be displayed anywhere, and will always show the current user's comments.