Crush the saffron threads with a mortar and pestle or mince them - you want it to be powdery so that the saffron flavor really comes through.
Add milk, ½ teaspoon of vanilla, and the crushed saffron to a small saucepan and cook over very low heat, just until the bubbles begin to form at the edges. Cover and let steep for about 10 minutes; the milk should have a sunny yellow color
Combine dry ingredients (flour and baking soda) into a medium bowl and set aside.
Combine butter and sugars and salt in a stand mixer and beat until flight and fluffy. Remember to scrape down the sides every so often. 4-5min ish.
Add an egg into the milk mixture and whisk together. With the stand mixer on low/med speed, add the liquids into the butter/sugar mixer and mix until well-incorporated.
Scrape down the sides of the bowl, then add the flour mixture. Mix on low speed until just uniform in texture.
Using an ice cream scoop, scoop out the cookie dough into ¼c ish balls and roll in the saffron-sugar mixture on top. Put in a tupperware and refrigerate for at least 3 hours or up to 5 days.
When ready to bake, preheat the oven to 350. Line sheet pan with parchment paper or silicon.
Bake for about 16 minutes, until golden but not too dark, rotating the pan midway through the baking time. Let the cookies cool on the pan for 10 minutes before removing.