There are two ways to add a show to your favorites list.
1. Go to your My Shows
page. At the bottom of the page there is a tool to add shows. Press Select Show and type the name of the show you want to add in the search box that pops up. After it is selected you can choose a rank for the show too.
2. Press the Favorite+ icon on a shows main page, located on the right, just under the General Info. Clicky for screenshot