First step is to auto-subscribe to threads you post in. Select "My 2+2" from the bar along the top of the forum, then select "Edit Options"
Now scroll down to "Messaging and Notification" and select anything other than "Do Not Subscribe." I'm not sure whether the email notifications actually work (I vaguely recall someone saying they don't), but I don't want all those emails anyway so I chose "no email notifications."
Once you're subscribing to threads you post in, all you have to do is view your subscriptions and jump to the first unread post in whichever thread you want to catch up on. Select "Subscribed Threads" from the "My 2+2" dropdown.
And now you just click the magic arrow on any thread you're not up to date with, to jump straight to the first unread post.