See also the original Kohn-Sham paper - "Self-Consistent Equations Including Exchange and Correlation Effects," by W. Kohn and L. J. Sham, Physical Review 140, A1133-A1138 (1965). http://www.cem.msu.edu/~cem883/topics_pdf/Kohn_Sham.pdf
and
"Inhomogeneous Electron Gas," by P. Hohenberg and W. Kohn, Physical Review 136, B864-B871 (1964).
http://prola.aps.org/pdf/PR/v136/i3B/pB864_1
It means that on the n-th iteration of the KS loop, the density that you compute from the KS states is equal to the density computed on the (n-1)-th iteration.