Coat ten 6-ounce ramekins with margarine or butter; dust with granulated sugar. Chill in freezer 10 minutes.
Finely grind walnuts with 1/4 cup sugar in a food processor; set aside. Stir wine, saffron, and vanilla in a bowl; set aside.
Preheat oven to 350 degrees. Put margarine or butter and 1 cup sugar into the bowl of an electric mixer fitted with the paddle attachment. Mix on medium-high speed until pale and fluffy. Mix in yolks and 1/4 teaspoon salt. Fold in walnut mixture, then saffron mixture. Stir in lemon zest.
Put egg whites, cream of tartar, and remaining 1/4 teaspoon salt into the bowl of an electric mixer fitted with the whisk attachment. Beat on medium speed until foamy. Gradually add remaining 1/4 cup sugar; beat until stiff peaks form.
Using a large rubber spatula, fold one-third of the egg white mixture into the walnut mixture. Fold in remaining egg white mixture. Spoon into ramekins.
Bake until tops are deep golden brown, 30 to 35 minutes. Let cool slightly on wire racks. Run a knife around edges of cakes to loosen; unmold onto racks, and let cool completely. Dust with confectioners' sugar, and serve with compote.
If you are not making this cake for Passover, use butter instead of margarine. To make one large cake, use a 10-inch springform pan and increase baking time to 35 to 40 minutes.