Heat the oil in a wok or large saucepan over medium-high heat. Add the sausage and brown on both sides, about 5 minutes total. Reduce heat to medium and add the onion. Cook, stirring occasionally, for 5 minutes. Spoon off and discard all but 1 tablespoon of the fat. Add the wine and cook for 2 minutes. Add the broth, saffron, and rice and bring to a boil. Reduce heat, cover, and simmer for 15 minutes. Stir the shrimp and peas into the rice, cover, and cook for 5 minutes. Remove from heat. Season with the salt and pepper. Spoon onto plates and add the cilantro (if using).
Tip: Saffron's steep price tag makes sense when you realize that the vibrant red threads are hand harvested from crocus blossoms. You can find saffron in the spice aisle of most supermarkets.