You could bookmark the last post you read (just click the bookmark link under the post). That will add it to your forum bookmarks and you could pick up where you left off.
Adding a link to every page is impractical, at least all lined up. I toyed with the idea of a drop-down menu like you see in the top nav, but with page numbers. That's a bit like expecting people to remember the last page they read in a book instead of inserting a bookmark, although I'm sure some folks do that.