The "view first unread" appears at the top of every page, right next to the "thread tools." It is in blue. I have never done a setting, this has just always been there on my subscribed threads. It takes me right to where I left off the last time I was here. If it doesn't appear on your page I am at a loss.
Honchey's idea to reverse the order of the thread so that the newest posts are first, is also a way to keep track of where you are.