You can 'save' an article by clicking the disk icon above the 'Tags' section below an article.

There's no link anywhere to see articles that you've previously saved, but you can manually go to the following URL to see them: http://lesswrong.com/saved/

It seems like an oversight on the part of the developers that the 'saved' functionality they got for free from the reddit codebase still works correctly, and the saved pages are accessible, but there's nothing in the UI that indicates how to access the page of previously saved articles.