Adding music to your Collection is as simple as tapping the heart icon (♥) that appears next to it.
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For playlists, albums, recordings, artists and events, the heart will always appear on the top. For tracks, tap the three dots and choose "Add track to collection".

You will then be able to find the item in the respective category within your Collection.
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To remove music from your Collection, simply tap or click the heart icon (♥) again, and the item will be removed from your Collection.