The following Python code will collect all comments for a user (set the author variable to your user name to get all of your comments) and print out JSON blobs which you can direct to a file. This will get all comments (even beyond the 1,000 available via your Reddit user-page)

#!/usr/bin/env python3

import requests
import time
import json

def get_comments_from_pushshift(**kwargs):
    r = requests.get("https://api.pushshift.io/reddit/comment/search/",params=kwargs)
    data = r.json()
    return data['data']

def get_comments_from_reddit_api(comment_ids,author):
    headers = {'User-agent':'Comment Collector for /u/{}'.format(author)}
    params = {}
    params['id'] = ','.join(["t1_"   id for id in comment_ids])
    r = requests.get("https://api.reddit.com/api/info",params=params,headers=headers)
    data = r.json()
    return data['data']['children']

before = None

### IMPORTANT ######################
# Set this variable to your username
author = "stuck_in_the_matrix"
####################################

while True:
    comments = get_comments_from_pushshift(author=author,size=100,before=before,sort='desc',sort_type='created_utc')
    if not comments: break

    # This will get the comment ids from Pushshift in batches of 100 -- Reddit's API only allows 100 at a time
    comment_ids = []
    for comment in comments:
        before = comment['created_utc'] # This will keep track of your position for the next call in the while loop
        comment_ids.append(comment['id'])

    # This will then pass the ids collected from Pushshift and query Reddit's API for the most up to date information
    comments = get_comments_from_reddit_api(comment_ids,author)
    for comment in comments:
        comment = comment['data']
        # Do stuff with the comments (this will print out a JSON blob for each comment)
        comment_json = json.dumps(comment,ensure_ascii=True,sort_keys=True)
        print(comment_json)

    time.sleep(2)