Once you are the command prompt you can use the up arrow to access previous queries, as you say.
If you want to go back a large number of queries, there is a MySQL history file - called mysql.history - which contains all previous query history. You can set the history limit in your MySQL configuration options.
To access all previous queries, one per line, (on *nix systems or Mac OS X), go to the command line and open the history file with your favourite text editor, as in:
>pico .mysql_history
If you use one of the free GUIs to MySQL, such as Sequel Pro, you can also store your favourite queries there.