At the top of each thread, there's a drop down menu called "Thread Tools". Click on that and you'll see three options: "View Printable Version", "Email This Thread", or "Subscribe to This Thread". Click "Subscribe" to bookmark it.
From there, you can choose how to receive notifications about posts made (or no notifications) and what folder the thread will go in.
To view threads you have subscribed to, go to your User CP and you should see all of them under "New Subscribed Threads". If you click "View All Subscribed Threads" (bottom right corner of that box) you can see and add different folders to sort them.
