Major change
From this version I decided to store favorite modifiers in User Preferences since it should not depend on scene and be everywhere the same. So, from now to save changes go to Preferences -> Save Preferences.
How to install
Go to Preferences -> Add-ons -> Install... and select "Blender_2.8_Favorite_Modifiers_Add-on_v1.1.0.zip".
Enable add-on.