does that mean that any entries or comments I later post on lj will show up as being posted from my dw acount instead of my lj?
No. It affects the way comments look on DW, not LJ. And it only affects comments that currently appear as having been posted by your LJ-OpenID (in your case, that would be clefurgey.livejournal.com)

I've imported everything I had on lj to dw, but the entries look, to me at least, to have my dw username.
That is correct. That is what importing does.

To find comments that would be affected, look at comments that you have posted on LJ, and that have been imported into DW. That is what this is about.
Here's an example: http://clefurgey.dreamwidth.org/5495.html?thread=7799#cmt7799
But you might need to undelete your LJ journal momentarily for the claiming procedure to work.

If I'm talking nonsense in any of this, someone please correct me?