After of a recent forum software update, I have now added a 'bookmarks' menu to the top navigation:
Bookmarks are useful to keep tabs on conversations that matter to you. To add one, just click the bookmark icon underneath a message:
A quick way to access your bookmarks is with a hotkey: press G B ('goto bookmarks') to go there (more information on the hotkeys is here).
PS: I've updated these buttons a bit to include the edit and bookmark button - those used to be hidden under the ellipsis icon.