Yes - you can click on the link I gave and bookmark that page in your browser like you'd do for any other web page - or it's more convenient to start off at the end of the thread, select the last page and then bookmark that instead.
Anything displayed on WP is just a web page and so you can bookmark any other thread or post on a thread too.
To bookmark a post, click on the tiny square "folded paper" icon to the left of its "Posted: " header (it will be white for a read post and gold for unread) and then bookmark as usual.
Depending on your browser it might be possible to right-click that icon and select "bookmark this link" from the drop-down menu, which is slightly quicker.
If you ever need to create a link to a post then you can use "copy link location" from that menu instead, and then right-click/paste it into a post or PM. (the wording may vary depending on your browser: it could say "copy address" or "copy URL" etc; same for the bookmark example too)
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Giraffe: a ruminant with a view.