It's pretty simple. Create a folder on your desktop or in your favorites list. Then create a short cut to the item your bidding on by adding it to favorites or dragging it to the folder. I have two folders. One for the items I'm bidding on and one for the items I have donated. Clicking the link is quicker than searching through several pages of threads to find your items.
And while I'm at it, a quick reminder to check the older items up for bid occasionally in case you forgot one you were going to bid on and didn't.