Combine cream, milk and sugar in a saucepan and set on medium heat. Stir to dissolve the sugar.
When the sugar has dissolved add the saffron and keep stirring. Cook mixture on medium heat until just before it reaches boiling temperature. Remove from the heat.
(Optional) Pour mixture through a fine sieve or cheesecloth to separate saffron threads/debris.
Drain the gelatin and add to cream mixture, stirring to dissolve.
Stir in the vanilla extract.
Pour hot mixture into moulds or serving cups. Refrigerate for 3-4 hours or until set.