Searching around vBulletin sites a little bit, it looks like people have been requesting this feature for a number of years.
Another way is to go to your subscribed threads and set up a Favorites folder. To do that, go under quick links, and then go to edit folders. Add a folder called favorites (or whatever you would like to organize your favorite threads).
Then, when you see a thread you like, click on Thread Tools, and subscribe to thread. You will see the following pop up. Change the folder to whatever you have called it, (in my case favorites), then the Add Subscription button.
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