However that can get tedious if you are a high poster or last posted to that thread a long time ago.
From the subscriptions page you can click on the number of posts to display a list of whose posted
Will bring up (if lots of people have posted you can do a search for your username on that page in the standard way with your browser):
Then clicking on the number next to your username will bring up yet another page where the most recent result is the last post of yours in that thread and you can click on the that to display the thread from your last post.
Quite clunky but I don't think there is a more direct way of doing it (unless of course I have missed something very very obvious).