Can you please help me with setting a status for tickets where we are waiting for the customer to respond to them?

You have a quick and efficient support team being ninjas and solving customers' issues and they send out a response promptly. When they eagerly await feedback from the clients on the thread, you would want to group them in a status relevant to this scenario and so you could add a status called "Awaiting Customer response."

Please navigate to Admin >  Workflows > Ticket Fields > Status > and add one in the dropdown -> as you do not want to violate SLA on a ticket - you could turn this off for this status as you are anyway waiting for them to get back.