To favorite a track and save to My Collection on your Android device, hold down on the track then click on Add to Favorites in the pop-up menu.
To add an artist or entire album to Favorites or My Collection on your Android device, just go to the artist or album page then click on the heart. For each album, just click on the album and then the heart. All hearted artists, albums, and tracks will appear under My Collection.
To remove a track from your favorites, deselect the heart to remove it from the My Collection list.