Add the walnuts to a large wide pan over medium heat. Move them around for a few mins until they're lightly browned in spots. Set aside.
Add the jaggery and 1/4 cup water to the same pan. Cook over medium heat, stirring in regular intervals with a spatula, until it starts to turn syrupy.
Keep an eye on it as it starts to thicken. You're looking for the consistency of honey.
Take off the heat and immediately stir in the chilli powder and salt. Working quickly, toss in the walnuts and coat all the pieces as evenly as possible.
Quickly tip out onto a large plate or tray. Separate them with a fork quickly while they're still warm; they'll harden as they cool.
Once cooled completely, break into pieces and store in the fridge for up to a month.
Notes
I used powdered jaggery. Grate it if yours comes in a mound.