To add Challenges to your Favorites Album, you will need to favorite Challenges by tapping the heart icon which will be visible on a Challenge when you view the Challenge Results in your inbox.

You can also select your favorite Challenge from any other Album by tapping the heart icon. This does not include Live Challenges in the Challenge Feed.

To unfavorite a previously favorited Challenge:
Select the Challenge you want to unfavorite and select the heart icon. You can also unfavorite a Challenge in your Challenge Results inbox message by deselecting the heart icon.