From where you are in the screenshot:
Right click the thing you want from the favorites menu, choose Copy.
Right-click near where you want it to go, choose Paste.
Alternatively, you can drag items from one thing to the other. (Hold Ctrl down to make it copy them rather than move them, if you don't want to remove them from the original menu.)
Options to create new sub-menus, if desired, are in the right-click menu on the menu/toolbar being edited or an existing button on it. Right-click where you want the menu to be.
When done, click OK in the Customize window.