I'm using version 4.2.8.

I want to add one of the brushes in the 'Paint' palette to my 'Favorites' palette on the right-click pop-up.
How do I do this?

Thanks!

It would be a good idea to update to version 4.2.9 which has had many bug fixes since 4.2.8 was released.

"Paint" and "* My Favorites" are 'tags', which are like labels that are attached to a brush preset. A brush preset can have more than one tag and you can assign a brush preset to an additional tag or remove it from an existing tag that it has. You can create new tags if you want to and assign brush presets to them in the same way.

In the brush presets docker, with the Paint tagged presets showing, right click on the preset you're interested in and you'll see 'Assign to tag' as one of the options presented.
Hover your cursor over 'Assign to tag' and you'll see a list of tags that you can additionally assign it to. Click on '* My Favorites' in this list. That's it.

The entire area of making tags, assigning presets to tags, etc has some 'papercuts' in the UI and the operation. These are well known and subject to formal bug reports.
The entire Resources management and presentation is being reworked at the moment and will be updated into a new and improved system in the future.