I think a better solution for this is a ratings system which would let you rate the songs 1-10 using the numbers on the remote. Then you could have custom shuffle modes which play only your "favorites" (say, 8 or higher) or any range you wish. Or another one that plays songs rated at 10 more often than songs rated at 5, etc. Much more flexible than "this song is my favorite, this song isn't."

And, as Derrick says, you can pretty much do what you want with Wendy flags.