Isn't there a feature to "pin" a message to some personal wall of my own (rather than to the channel where it was spoken)?

or bookmark, favorite, star, etc.

@echristopherson: there is a star in every message (visible when hoovering on a message)

@echristopherson: Yep as @nha mentioned there is a star on every message on hover, if you star a mesage this is private to you