You can get RestKit to connect the relationship between the objects using foreign key mapping (RKConnectionDescription
as per the comment from @insane-36). If the appropriate destination object is available in the context then the connection will be made, if it isn't then nothing will be done.
If you don't want to do that then you would need to write code to duplicate that task, i.e. fetch the comments, iterate over them, fetch the associated events, connect the relationships, save.
Having RestKit connect the relationships is certainly a lot easier for you and it doesn't preclude you requesting comments where you don't have the event that they should be attached to.
Note that you can specify the foreign key mapping on both the event and the comment mapping so that whichever is loaded first RestKit will connect to the other when the latter mapping is processed.