In any particular overview list of stations simply swipe the chosen station to the left and then click on the plus or minus sign to add or remove a station or podcast from your favorites list.
Alternatively, when on a station or podcast's detailed view, click on the plus or minus sign under the logo to save or remove the station or podcast.
To save or remove songs scroll down to the songs playlist, swipe to the left and then click on the plus or minus sign as appropriate.
The third option to add favorites can be found in the Car Mode Player. By clicking on the plus or heart buttons you can add a station or currently played song respectively.