There is no way to set a problem as one of your favourites in the problem page itself and you have to navigate to the problem's contest and from there set the problem as your favourite.

It's not easy and me myself for a long time did set the contest of the problem as favourite instead of the problem itself and today I realised the fact and I think it should be a way to set the problem as favourite in the page itself, because this way it's too hard to do so.

I have made a demo of the feature I'm talking about, You can see it below.