Click on the heart icon next to the running time of an individual track listing to add it to your Favourites. Click on the larger heart icon next to the main play button above the individual track listings to add the entire playlist to your Favourites.
You can also search for specific songs or playlists to add to your favourites.
You can view & play your favourites from the left-margin menu. On the main landing page, select My Favourites.