Open your inventory
Hover over the item you want to favorite
Press the favorite key:
PC: Click the small star icon on the item, or use the favorite hotkey if enabled in controls
Console: Use the designated favorite button shown in the controls
Mobile: Tap the favorite/star option on the item
The item will show as favorited
Favorited items cannot be sold, trashed, or quick-stacked accidentally
Repeat the same steps to unfavorite the item