But did you know you can also do it in the Develop module?
Check for the toolbar in the Develop module, if it is not visible press T to display it. Here you will find a series of options including some for flagging the image.
If the flags are not visible, click the down-pointing arrow at the far right of the toolbar and select Flagging from the menu. Click a flag to flag an image from here without having to go to the Library to do so.
The toolbars in the other modules: Slideshow, Print and Web while partially don’t have this same feature but it is a customizable option in the Library and Develop modules.