Stir together 2 tsp. warm water and crumbled saffron threads.
Drape a kitchen towel over a small saucepan, and set a small metal bowl over it. Mash garlic and salt together in bowl; whisk in yolks and saffron mixture. Add oil, 1 tsp. at a time, whisking constantly. Add extra virgin olive oil in a slow, steady stream, whisking constantly. (If mixture gets too stiff, add more water.) Stir in dried crushed red pepper. Serve with shrimp, eggs, and vegetables.