Combine 1/4 cup water and saffron in a small microwave-safe bowl. Microwave at HIGH for 45 seconds. Cool completely. Combine saffron water, orange juice, vinegar, and agave in a medium bowl, stirring with a whisk.
Place 2 orange wedges and 2 ice cubes in each of 3 highball glasses. Pour 2/3 cup saffron mixture and 1/3 cup club soda into each glass. Squeeze remaining 3 orange wedges evenly into drinks.