Are you using some icons often or are you just browsing the site and like a particular icon? Add it to 'My icons' for later use. It's the easiest way to find your icons again.
When browsing for icons, you will see this icon: 
Click it to add it to 'My icons'.
Each tab has a different 'My icons' section and holds only the icons from that tab. That makes organising your icons easier.