I don't think that there's a save option for fave thread but what you can do is involve yourself in the threads that you're interested in and then you can check up on them by clicking the 'my threads' option on the top there. It keeps track of every thread that you've written in, making it easy for you to keep track of them. :)
EDIT: ive just learned that you can add threads to your favorites by clicking on the red & star icon next to the reply box near the bottom of the page.