Customizing Threaded Comments

Instead of using default structure, e.g.

<ol>
   <li>Comment</li>
 </ol>

…and so forth.

I want to customize that structure, yet maintain threading capabilities. I can do this with a callback, but not to the level I’m looking for. I want to say, for instance: if level 1, use this code; if level 2, use this, etc.

Is there anyway to do this?