In a small bowl, add sago and just enough water to cover it. Soak for at least 1 hour and up to 3 hours in advance. The grains should absorb all of the water and be plump when ready.
In a small pan, dry roast the vermicelli until lightly golden, about 2~3 minutes. Set aside.
In a medium size saucepan on medium heat, bring milk to a boil, stirring occasionally to make sure that it does not scorch the bottom. Add the soaked sago, roasted vermicelli and cook, stirring occasionally, till sago turns transparent and vermicelli is tender, about 10~12 minutes
Stir in sugar, ground cardamom, saffron and mix well. Cook till sugar melts and the mixture thickens a little bit, about 5~7 minutes. Turn off the heat.
Kheer will thicken as it cools. Garnish with chopped nuts and serve at room temperature or chilled.