Typically, when I want to keep notes for myself, I just make myself a private thread (And just not select anyone else), and then mark it as a favorite.
Is what you're asking for something that goes further than this?
Where as a Sticky pins something to the top of the forum, I want something that I can pin to the bottom of the forum that regardless of replies won't get bumped up.
Something that I can carry on a discussion in without having it bumping up to the top and pushing other things out of the way, and something that I can reference back to easily, by clicking last on the forums without having to dig through pages and find it again.
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Really, what I think it boils down to is that in this single tray forum, there's a crapload of jumbling around of things when the forums get active. The ability to pin something to one specific spot, via sticky helps when you have important things that you need to reference quickly. What I'm looking for is something that needs to be easily referenced and reached, but doesn't take up that prime front page real-estate. So that you always know what page it's going to be on and can just be like, 'uh look at the back end' and it'll be there, rather than telling people 'I think it's on page 3? maybe 2, I can bump it, hold on'.