Hmm, there isn't a way...

Right now all favorite folders are stored per Bookmark. This includes the local folders.
I'll consider how to address this, but in the mean time you could:
1. Copy your local favorites into each Bookmark. Take a look in:
Mac HD -> Users -> yourname -> Library -> Preferences -> Yummy FTP -> Server Favorites
For each Bookmark there is a folder for Mac favorites stored as Mac Alias files, in the format:
Hostname/IPAddress - BookmarkName Mac favorites
You could copy the aliases to each of the folders representing your Bookmarks.
2. Use the History menu. Each Bookmark remembers the last 20 places you visited, so this should mean your favorite local folders are accessible from the History menu.