When you're a tweet that you'd like to bookmark, first click the tweet to load it on its own page (you'll see the address as https://twitter.com/username/status/....).

Then click the Markfolder button to bookmark it.

Click "Save bookmark" to save it to the selected folder (it remembers the last folder you used), or select a different folder before saving.

You'll be notified that the tweet has been saved.

Try it out now: open this tweet in a new tab and bookmark it to your "Bookmarks" folder. Return to this tab when you're done. (You can delete the bookmark later.)