There are various userscripts that do the hard work for you, but to do it manually, navigate to the permalink of the message you want to reply to (example), get the number after the # and start your message with :<number>
For example, to reply to ^ that message, I'd start the message with :9002708
You can get some really funky stuff by doing that, such as self-replying, and linking to the message itself by guessing the id
user728672
That's a lot of extra steps to just drop a marker in the inbox.