You can add a legend quite easily;
#specify the min and max values of your data
colormap = branca.colormap.linear.YlOrRd_09.scale(0, 8500)
colormap = colormap.to_step(index=[0, 1000, 3000, 5000, 8500])
colormap.caption = 'Incidents of Crime in Victoria (year ending June 2018)'
colormap.add_to(world_map)
You can see my complete example here;
Folium Map with legend example
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