This is actually an in-game function. If you right click your target frame you can go to "set marker" and select skull, cross (X), square, moon, triangle, diamond, star, or circle. If you hit escape and go to "key bindings" there is an option to bind these to keys so that you can set them more easily on the fly.
I personally have my number keys mapped to the markers, some people use F keys for the important ones, so like on my laptop where I didn't have a number pad I would bind skull to F5 because it's not that much of a reach for my left index finger.
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