Saffron threads should be crushed before using in recipes. To make ground saffron, start with saffron threads and lightly toast and grind them yourself. Just be careful not to burn them or they won't work. Because many recipes call for only a pinch of saffron, a little goes a long way.
One common practise is to soak saffron threads in cooking liquid before using them. The longer you steep the saffron threads, the stronger the flavour and colour of the cooking liquid. Some frugal cooks steep saffron threads and use the liquid in the recipe, then dry and reuse the threads a second time.
Saffron can be found in a well-stocked grocery store, but it is rarely displayed on an open shelf where it could tempt thieves. It could be in a special locked cabinet in the spice section, or you can ask at the service desk.