Heat a thick bottom pan, add canola oil and to it add sesame seeds.
Continuously keep stirring the sesame seeds until they turn light golden hues. Take it off the flame and remove the sesame seeds on to a flat plate.
Soak saffron in warm milk and reserve it. In the same pan as of sesame, add jaggery and melt it to liquid, gently keep stirring it till it froths without reducing it too much, take it off the flame.
Before it starts to solidify add to it saffron milk, stir it. Add to it softened khoya, sesame seeds and blend well together with mixing spoons.
Now oil your palms with a bit of canola oil and using your fingers take small portion f the mix (ensure the mix isn't too hot to burn you) and shape it into medium sized balls. Continue this until you have used up all mix.
Serve it at room temperature and this can go well during a party at home as pass around of sweet snacks.
You can also add dry fruits and nuts like almonds, hazelnuts, pistachios and walnuts. Toast or roast the nuts and crush them a bit before adding it to the mix and then proceed to make balls.