How To Pre-Approve Comments Before they Show Up?

This has actually confused me somewhat. I’ve only just allowed comments on my blog but the feature I thought was there is not. I want to per-approve all comments before they show up and the “An administrator must always approve the comment” check box in discussion settings doesn’t actually do what it sounds like it does. The comment still appears it just says “waiting for moderation” – what’s the use in that? The slanderous or spam is still there until you have time to disallow it.

Is there a way I have to approve each comment before it actually shows up on the blog? I’m sure I’ve been to many blogs where my comment didn’t show up until it was approved.