Angie- I pick a theme and do searches, favorite items I want to add to a treasury. Click on BUY on the Etsy home page and go to Treasuries; on the right, there should be a link to curate your own. Then, I work between two different windows/tabs- one of my favorites and one of the treasury. Open each favorite listing, copy the link, paste it in the treasury window/tab, repeat!
There's probably an easier way to do this but I don't know it!