When you reply to something, use the "Favorite Options..." pull-down on the bottom of the text entry window, above the "Post Reply" button.

If you just want to subscribe to something, use the "+ Favorite" button in the yellow bar below the last post on a page, next to "Forum Search" (and once you've made something a favorite, you can edit whether you want to receive notifications or not using the Favorites button in the control bar at the top of the screen).