On browser/PC, this can be done one of two ways:
1. Hover over an eligible* AW in the list and the heart will display. Click on the heart to make that AW your favorite.
2. When you select an eligible* AW from your city and open its "Research" tab, the heart will be in the upper(ish)-right corner of the window. Click the heart to make that AW your favorite. The heart will not be present if the AW is ineligible.
* An eligible AW is one that has been built, has not been maxed, and is not in the rune phase.