After selecting at least one record which is not already a favourite, the action menu on the right side of the screen will expand enabling you to view and click on the 'Make favourite' option.
Note: If you select a mixture of records which have already been added to your favourites as well as records which have not been added to your favourites, then in the expanded actions menu on the right side of the screen, you will see both ' Make favourite' and 'Remove from favourites' options.
Immediately favourite
Alternatively, simply click on the uncoloured star icon associated with any record to add that record to your favourites.