OK now that I logged in I see it (very small and in grey). I guess since I have been frustrated so many times before (I have this problem EVER time I go on flickr), I didn't expect to find one anymore.
Usually I end up going to the FAQ and then somehow I figure out how to do it. I don't use flickr that often, so I keep forgetting.
I guess I would expect a big, fat button, since it seems rather important, but it might be different for different people.
You do have to register and log in to store favorites, though.