In a stainless steel or porcelain two-quart saucepan, combine the cream, peppercorns, two sprigs of thyme, and saffron. Bring to a very light boil. (Watch to make sure the pan doesn't boil over, which cream likes to do.) Add the oyster water. Reduce about 30 minutes, to about one cup of liquid.
Add six oysters. Let them cook in the sauce until it resumes bubbling--about two or three minutes. Using a slotted spoon or a skimmer, remove the oysters from the pan and keep warm while you cook the remaining oysters in batches of six. Allow the herbs, peppercorns, and sauce that coat the oysters to remain.
When all the oysters are cooked, plunge them all back into the sauce for a few seconds to warm them back up. Arrange three to six (depending on size) on plates. Nap with a little extra sauce, stirring the pan to distribute the peppercorns and herbs. Garnish with fresh thyme sprigs.