This is the way I do it. Go to your profile page and click on any of your "lists" under your game info. I usually click on my wish list, but any will do. At the top of the page that displays your list you will see a "Filters" option. In that filter list you will find the option you're looking for.
This only lists the games that you have commented on, played, wished for, wanted, or previously owned or otherwise added to your BGG collection. It will not show any games you have never heard of (for example).