I'm pretty sure that if you mark all read, it marks all threads as read, so if you still want to catch up, it's not something I'd recommend.
Unfortunately it does seem that once you've entered a particular forum, read some threads with unread posts and then log out, then the board marks every thread with new posts (including those you hadn't read yet) as read the next time you log in. If you don't go to a forum, then it leaves the unread marks alone.
So all I could suggest is just take one forum with unread posts at a time and don't even go to the other forums until you're sort of caught up. Or just take the plunge and afterwards, once you've logged out and back in the next time, try and remember which ones you've read - if you start catching up from the bottom up for example, just note down the date of the last unread thread or something like that.