The help page is help:saved searches.
Basically you do a search, then click the "+" by the search box, and click "save search." They have some similarities with subscriptions: they show up on your profile page, and regularly update with new posts from the search. You can put multiple searches into the same category, then do a search for "search:category_name" and it will show the most recent posts for all the searches in that category. If you want to delete or edit saved searches, click on "Saved Searches" on the post page, and then "Manage saved searches."
