Select the file in the library and click on the File info menu and select the Trimming sub menu.
Go to the place in the movie where the first mark shall be.
Click in the white box and hit "i" then you will see the timecode appear in the "inbox" Use "n" to create a new mark, and you can do this while the film is playing. When you are done, you can give each chapter mark a name. This will then appear on the share links, and clients can go directly to a chapter mark.
You can also upload an Avid ale file with chapter marks and meta info. This is handy when doing dailies through the Avid.
Remember you can use "j-k-l" and arrow left/right to go back and forward in the player. See link to Video playback speed