Hold comments for moderation only if user is not logged in

Here you go, paste this code in your themes functions.php file:

function loggedin_approved_comment($approved)
{
    // No need to do the check if the comment is already approved anyway.
    if (!$approved) {
        if (is_user_logged_in()) {
            // Note: 1/0, not true/false
            $approved = 1;
        }
    }

    return $approved;
}

// Action allows the comment automatic approval to be over-ridden.
add_action('pre_comment_approved', 'loggedin_approved_comment');

Make sure to enable Comment Moderation inside the Settings-panel of your WordPress install.