Preheat broiler with rack set in center of oven. Spray a baking sheet, fitted with a rack, with cooking spray; place wings on rack. Season chicken with salt and pepper; sprinkle half of the saffron evenly over wings. Broil until crisp, about 20 minutes. Using tongs, turn wings, and evenly sprinkle with remaining saffron; broil until crisp and heated through, another 20 minutes. Serve with dipping sauce on the side.