That's been covered a few times before. This is the preferred way to do it as rather than leaving it up to Cookies/Session data which can get corrupted easily, it stores the threads you read in the database, so it's always perfect.
If you use the
New Posts link at the top of the page, it actually differentiates between new posts and new posts since your last visit, otherwise just remember to click the mark all forums as read!
After a week or two of doing it this way I might make a thread and judge what people think of it, we can always switch it back to cookie/session marking.