I've somehow managed to mark a weapon as a favorite, this draws a little heart next to it:
I don't remember doing anything to enable this state (and I've had this gun pretty much from the start of the game with a variety of upgrades performed). However, if I press the F key on my keyboard, I get a little popup which acts as a quick access to change my currently equipped weapon, and that is quite useful:
As you can see, this is empty except my pistol.
How do I mark a weapon as a favorite so it's available in the quick access menu?