in the past i have gone to my "followed thread list" and then searched the page for my name. in firefox this is done with ctrl+f, not sure about other browsers but they all have a way to search a page. then i just went from result to result until i found the thread i was looking for.
not the most elegant solution and i often have to search multiple pages since i have a ton of threads i have commented in, but it worked anyway :/
certainly would be a nice feature to just be able to just list ones i created but i guess if the mods are aware of it's need, it should eventually get into the options.