Saving locations in Maps means you can find places again quickly, without having to search for them. It will also reduce the time spent connected to a cellular network when using the Maps app.
From any pin, tap the label to view more details. From here tap the share button (a square with an upward arrow) and then Add to Favorites.
To retrieve it, tap the search bar, tap Favorites and select from saved locations to view it on the map again.