Even before you decide to make this sweet ensure that your cashews are in room temperature and not in the refrigerator or freezer. If the cashews are cold, bring them to room temperature and then begin the process.
Grind the cashews in batches (in room temperature) to a powder without adding any water. Make sure that you do not run the blender/mixer in full speed and just pulse them in intervals. This step is very important because if the mixer gets heated up, that in turn makes the cashews warm and it will start letting out its oil. Pulse it in intervals and scrap the sides of the mixer bowl. Transfer the cashew powder to a bowl and then repeat with the remaining cashews.
In a wide, heavy bottom pan, add the sugar and the water and bring it to a boil. Now test the sugar for single thread consistency. Once the sugar syrup is all bubbling, take a little bit of the syrup in the ladle and let it cool for couple of seconds. Now touch the syrup with your index finger and press it against your thumb. When you open the fingers, you should see a single tread forming from the syrup. This requires some practice, but the recipe is pretty forgiving even if you are just close to the actual consistency.
Now add the cashew powder to the sugar syrup and mix well to avoid any lumps. You would notice that the mixture is already like a thick porridge. Keep mixing the mixture until it starts to come together as a wet chapatti dough (this takes only about 5-6 minutes). Do not let it cook any further as the katli might become flaky that soft and chewy.
Turn off the flame and let it sit for 5-10 minutes.
In the meantime, grease the counter top surface or a wide plate and transfer the burfi to the surface.
Grease your palms with ghee and then start kneading the burfi when it is still warm, but manageable. Knead it for 3-4 minutes until it is smooth and glossy. This step is important for smooth katlis. If the mixture is still a little sticky, grease your palms well and knead more.
Transfer the kneaded mixture in between layers of wax/parchment paper and then roll it out to a thin layer.
Using a pizza cutter or a sharp knife, cut the burfis into desired shape. If using saffron, add the it to the rolled out burfi and then roll it one more time to make the saffron stick to the surface.
Let the katlis cool down and then store in air tight container.