Imagine, you find a skin you want to wear, but you already love the skin you're wearing now. And you know if you change out of it, you'll forget the world it came from, and vise versa with the new skin.
If there was favorites, all you'd have to do it click on a skin you like, go to the avatar tab. Near the change button, would be a favorite skin button. You click it, a new tab in avatar is created, labeled 'Favorites', and a star pops up near the skin icon.
If favorites was added in, it would not only make changing skins easier, but it would save lots of frustration for looking for that one skin from that one world you swear you know.