You can also get to them by going to the Do Stuff link towards the right on the menu and choosing Subscribed Threads from there. Though the Settings way is one less click that the Do Stuff option.
And if no recent responses are in your subscribed threads but you still want to look at it, when you go to settings, there is a link for "view all subscribed threads" that lets you see the older ones that haven't had any activity lately.