Turning a thread into a Sticky will cause it to remain pinned at the very top of the thread listing, regardless of the last time it was replied to.
When creating a thread, you can automatically make it a sticky by selecting the icon on the Create Thread page and selecting Sticky. Once posted, the thread will already be shown as a sticky and remain at the top of your board.
To make an existing thread a sticky while you're viewing it, click on the Actions dropdown at the top of the thread. Select Moderate, and then select Sticky.
To make multiple threads change into stickies, visit one of your boards and select the checkbox next to each thread you want to have pinned to the top. Click on the Actions dropdown, select Moderate, and then select Sticky. This will affect every thread you've selected.
These same steps can be followed to unpin a thread. The menu option to sticky the thread will simply be changed to Unsticky.