Go to "Messages" > click on the icon of three circles on the opposite side of person's name > "Add to Favorites". Or you can go to the user's profile and find the yellow button "Add to Favorites" at the upper right corner.
Mobile version
You can add a person to "Favorites" through the special option in the dialogue. Go to "Messages" by clicking the button in the top menu > select the desired dialogue > click on the three circles in the top right corner > "Add to Favorites".