Since you access SharePoint Online on a web browser, you can create bookmarks/favorites of any folders you access frequently.
The process is different depending on the web browser you use.
Google Chrome
The steps for the new Microsoft Edge and Google Chrome are the same, but Edge calls them Favorites instead of Bookmarks.
Creating a Bookmark Folder
Creating a bookmark folder is a great way to keep your bookmarks organized. There are a few ways to create a bookmark folder.
1. Select the options icon located at the top right corner.
2. Select Bookmarks, and then Bookmark Manager.
3. Right click and select Add New Folder.
4. Name the folder and click Save.
5. The new folder will be created.
You can create folders within folders, just like File Explorer. After creating a new folder, click and drag it into another folder.
Bookmarking a SharePoint Folder
1. Navigate to the folder you want to bookmark.
2. Select the Star at the top right corner.
3. Edit the name of the Bookmark. Select which bookmark folder to save it to, and select Done.
4. You can access that bookmark by clicking on the folder.
5. Repeat this for any SharePoint folders you want to save.
Safari
Creating a Bookmark Folder
1. Select Bookmarks located at the top.
2. Then right click and select New Folder.
3. Name the folder.
4. Navigate to the SharePoint folder, and select Bookmarks and then Add Bookmark.
5. Select the folder, and give the Bookmark a name. Then select Add.
Learn more on the Patriot Knowledge Center: Microsoft SharePoint