Stir saffron into warm milk. In large bowl, dissolve yeast in warm water. Stir in saffron-milk mixture, granulated sugar, salt, eggs, butter and 2 1/2 cups of the flour. Beat with spoon until smooth. Stir in citron, almonds, lemon peel and enough remaining flour to make dough easy to handle.
Place dough on lightly floured surface. Knead about 10 minutes or until smooth and springy. Grease large bowl with shortening. Place dough in bowl, turning dough to grease all sides. Cover; let rise in warm place about 1 hour 30 minutes or until double in size. (Dough is ready if indentation remains when touched.)
Grease 2 cookie sheets with shortening or cooking spray. Gently push fist into dough to deflate. Cut off one-third of dough for top braid and reserve. Divide remaining dough into 3 equal parts; roll each part into 25-inch rope. Place ropes close together on cookie sheet. Braid ropes loosely; shape into circle and pinch ends to seal.
Divide reserved dough into 3 equal parts; roll each part into 16-inch rope. Place ropes close together on second cookie sheet. Braid ropes loosely; shape into circle and pinch ends to seal. Cover both braids; let rise in warm place about 45 minutes or until double in size.
Heat oven to 375°F. Bake 20 to 25 minutes or until golden brown. Remove from cookie sheets to wire rack. Cool completely, about 1 hour.
In small bowl, mix glaze ingredients with spoon until smooth and thin enough to drizzle. Drizzle glaze over both braids. Make holes for 5 candles in small braid. Place small braid on large braid. Garnish with cherries. Insert candles.