Place saffron threads and salt in a mortar, then grind with a pestle. Transfer mixture to a small bowl and pour warm milk over the saffron and salt. Let infuse for at least 30 minutes.
Heat oven to 375°F. Line baking sheets with parchment paper.
In the large bowl of a food processor, pulse flour, baking powder, and baking soda a few times to thoroughly blend.
Add butter, cream cheese, sugar, and orange zest, then blitz until mixture is sandy and powdery.
Add egg and saffron mixture, pulsing until dough comes together. Stop and scrape down bowl as necessary.
Pour rainbow jimmies into a medium bowl. Wrap base of a flat-bottomed glass with cling film.
Form dough into balls that are about 1 ½ tablespoons each. (A cookie scoop is super helpful here.) Roll them in your palms just to warm ‘em up a smidge and make ‘em a little tacky, then drop into bowl ‘o sprinkles, rolling around to coat evenly.
Place on baking sheet, leaving 2" between each dough ball.
Using the cling film-wrapped glass, gently press down on each cookie to flatten to about ¼" to ½" tall.
Bake for 9–10 minutes or until edges are set and bottoms are lightly browned. Remove cookies from oven and cool on pan for 5 minutes. Then transfer to wire rack to cool completely.
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