When running un-assisted in a contest, I use the bandmap in the logging program to mark the stations I've worked - both N1MM and Writelog will do this got you automatically when you enter the Q in the log.
At some point, having the ability to mark this automagically on the pan adaptor would be great but for now, the bandmap doesn't require additional mousing around or having to change the window focus during the contest.
HRD also inform you that you have work the station and in which band.
The use of TNF as you suggest is unnecessary in my belief, because once worked that station may relocate somewhere else in the band.
Marking then as you and Stu suggest may block another choice from being heard that you may need.