Thanks to Diglin for pointing me to the right place. Just for the correct answer:
You can do this using the addComment method, which also allows you to specify the new order status as one of its parameters.
$sku='100000003'; $orderStatus = 'Downloaded'; $comment = 'The order was successfully downloaded'; $sendEmailToCustomer = false; $proxy->call($sessionId, 'sales_order.addComment', array($sku, $orderStatus, $comment, $sendEmailToCustomer));
Hope this helps someone.
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