Marnix's answer is correct. I have added the following shortcut to my toolbar:
But.... This has changed in newer versions of Mendix, that's why I have a second shortcut:
I think the latter only works in Mendix 7.14 and up, the first one for the older versions...
Clicking that bookmark will result in an alert telling me in which page I am working:
There's a way, but it's not pretty per se.
If you open the Developer Tools in (for example) Chrome, and open the network tab. Then browse to a page in your app, you'll see a bunch of requests. One of he hits will be a <YourFormName>.page.xml?RANDOMIDHERE.
Obviously, <YourFormName> corresponds to your page in the Modeler
Open de inspector console tab and paste,
This will avoid having to have to go search for the exact page that was loaded at that time.