Click on the 'X minutes ago' permalink on the comment, and then select 'favorite'. It will show up under 'favorited ... comments' linked from your profile page while logged in.
More generally, and as hinted to by floatingatoll, the the 'X minutes ago' is also a permalink meaning after you click on it you can bookmark it in any bokmarking system you use. (I use pinboard.in)
Also FWIE, going to the permalink for a comment also gives you access to the flag feature.
