Because saffron is very expensive, it is important to get every bit of flavor out of the saffron and well distributed into the food it flavors. There are two techniques for doing this: toasting and powdering the threads, and steeping the saffron ahead of time in hot water or broth. Saffron threads are toasted to remove all residual moisture so that they can be ground in a mortar or crushed between spoons. They may be toasted on the stovetop in a dry skillet or in a carousel microwave at full power for about 30 seconds or until they begin to give off an aroma. Cool and crush finely.
If you will be using the threads whole (they are showy in a sauce, for example) then you should steep them for at least 15 minutes to extract as much as possible of their flavor. Longer would be better, as they release flavor for up to four hours. Bring some of the liquid used in the recipe--water, stock, milk, to the point of boiling and stir the threads into it and set it aside while you do something else. Liquids containing alcohol do not have to be heated.