To make an OnDemand movie or show a favorite, select the OnDemand title. You will then be prompted with an information screen with the option to Add to My List. This will add the OnDemand title to your list of favorite OnDemand titles.
To find the OnDemand titles that you have marked as favorites, go to the OnDemand menu option from the home screen and press OK. From here you will see a sub-menu under On Demand. Select Favorites and you will see all On Demand titles you have added.