If you are saving a copy of your stream to your hard disk, you can add markers to it while you stream. The Save to Hard Disk option must be enabled in your Streaming settings.
How to add a marker while streaming
Start streaming a game
Press the Add Marker hotkey (Alt+C by default)
The overlay will display Added to indicate that the marker has successfully been saved.
TIP The Add Marker hotkey can be changed in the Hotkey settings.