Heat a heavy bottomed pan on a medium flame. Add the crumbled khoya to it and cook, stirring continuously till it is soft.
Add jaggery powder to it. Mix the jaggery well with khoya and cook on a low flame.
The jaggery will melt and the mix will be semi solid. At this point, add the saffron milk and stir. Cook the mixture on low flame for another 2-3 minutes.
Add the desiccated coconut and mix everything thoroughly.
Keep stirring and cook until the mixture leaves the sides of the pan. Overcooking the mixture will result in hard and chewy laddus, so be careful.
Turn off the flame and remove the laddu mix to a plate. Let it sit till it's cool enough to handle.
Take a small quantity of the mix in your palms and bind it together. Roll it to make a laddu. Make all the laddus similarly.
If you like, you can add pistachios or any other nut like almonds or cashews to garnish the laddus.