To create a Favorites section in the sidebar, go to a contact list, then right-click the contact and select Add to Favorites. This creates a Favorites section at the top of the sidebar, just under Contacts - if there wasn’t one already - and adds the selected contact or conversation.
You can add as many contacts or conversations to the Favorites section as you like. They will always appear in the sidebar, so you can easily find them.
To remove the contact or conversation from Favorites, right-click it and select Remove from Favorites.