Preheat oven to 350 degrees. Spread almonds on a rimmed baking sheet. Toast in oven until fragrant, about 12 minutes. Transfer to a plate. Let cool slightly, and then coarsely chop.
Combine almonds with cream, honey, saffron, lemon zest, and salt in a saucepan. Bring just to a boil, stirring to dissolve honey. Remove from heat. Cover, and set aside to infuse 1 hour.
Sprinkle gelatin over cold water in a small bowl, and let stand until softened, about 5 minutes.
Bring cream mixture to a simmer. Add gelatin mixture, and stir to dissolve. Pour through a sieve into a bowl. Stir in milk. Divide among nine 2-ounce (2 1/2 inches wide by 1 1/2 inches deep) ramekins. Refrigerate panna cottas until set, at least 4 hours (or up to 1 day).
To unmold, dip ramekins into hot water briefly, making sure water does not reach rim. Run a knife around edge of each panna cotta, and invert onto a plate. Drizzle with honey. Serve with cookies.