It seems that you are asking two different things:
How to format links to a comment?
...that only displays correctly when I create a new question but not in the comments where it is shown as an url page.
You do not want to be link displayed like this:
https://math.meta.stackexchange.com/questions/28234/how-do-i-link-to-a-question-in-another-question-or-in-comments-section but you want some specific text.
To achieve this you imply use text format, for example,
[How do I link to a question in another question or in comments section?](https://math.meta.stackexchange.com/questions/28234/how-do-i-link-to-a-question-in-another-question-or-in-comments-section) - this renders as How do I link to a question in another question or in comments section?
This format can be also used in the posts. (In my opinion, it's preferable to just posting a link and rely on Stack Exchange software that it is going expand the link to the title. If you use your own caption, you have better control over the displayed text.)
For more details see: How do you cite a reference in a comment?
You can also find section on formatting comments in editing help. And also in some posts on Meta Stack Exchange, such as: How do I use formatting in comments?
How to get link to a post?
What I'm doing now is just copying it straight from the URL bar in my navigator but ...
Copying link from the address bar of your browser is fine. Make sure that you are copying the link you want. By which I mean - in your browser you can have a link to an answer, a question, a comment - depending on how you got to the post. Sometimes this is not the link you want (for example, you might want link to the question, but in the address bar you have link to an answer).
In the case of this question you get:
https://math.meta.stackexchange.com/questions/28234/how-do-i-link-to-a-question-in-another-question-or-in-comments-section link and this is a link to this answer:
https://math.meta.stackexchange.com/questions/28234/how-do-i-link-to-a-question-in-another-question-or-in-comments-section/28235#28235 link. (After each link I will also add "clickable" version so that you can try it.)
Under every posts you get a link called share. You get a shorter link from there. The last part of the link is your user id - which you can omit if for some reason you don't want the link to identify who shared the link. (Or you might keep it, if you hope to get some of the badges related to sharing questions.) In this case you get
https://math.meta.stackexchange.com/q/28234 link for the question and
https://math.meta.stackexchange.com/a/28235 link is the link to the answer. (Both with userid omitted.) I will add that this link also links to the answer: