[Firaxus]

To expand a little on what grzm said:

If you click on the "X time-unit(s) ago" part of the comment heading in a new window/tab, it will open that comment as its own item where you can then favorite it.

It's a little hidden, I have often wished the same thing as you without remembering that favoriting comments is possible, even though I've evidently done it before since when I favorited the parent I found other favorited comments in my favorites list.