I've done it. It's a little bit complicated, though. So I'd be happy to explain it in detail here, but only if anyone's interested.
In a nutshell:
I simply generated the whole vml. This thread helped me: https://stackoverflow.com/questions/3494856/how-to-add-a-comment-to-a-cell-in-excel-2007-using-the-open-xml-sdk-2-0/20740684
Then I had to feed the files
xl/threadedComments/threadedComment1.xml with appropriate data.