Place the yogurt in a cheesecloth or muslin cloth over a strainer on the top of a bowl and let it rest in the refrigerator until all the water from yogurt strains out.
Add saffron strands into the milk and set it aside.
After 2-3 hours you will get thick yogurt, transfer it to another bowl and keep the protein rich water residue to knead dough or in making dals etc.
Into the thick yogurt add powdered sugar and saffron milk. Whisk until combined. Transfer them into the serving bowls.