Keywords can be favorited and unfavorited by simply clicking on the star icon when hovering over the keyword. You can also do this to multiple keywords by selecting them and then clicking 'Favorite' or 'Unfavorite' on the action bar.
Once you have favorited keywords they will appear above all the normal keywords, and you will be able to selectively filter by favorited/unfavorited keywords in the filter menu.
We hope that was helpful. If you need further assistance with this please don't hesitate to contact our support team.