The option is now in your Profile section, under "Subscribe / Unsubscribe..." edit options. If you choose yes, you want to receive email to your favorite threads, then you will receive emails to any threads you mark as your favorites.

You have two ways to make a thread in your favorites. One is when you reply, this is an option to "Add this thread to my favorites." The second way is there's a little icon with a string tied around a finger at the bottom of every post. Clicking on that little icon will add that thread to your favorites as well.

This works a little differently than before.