Take your half orange and remove the pulp. Be careful to leave the white bit in the middle unharmed. I did this by working my finger around the outer edge and scooping out each segment one at a time.
Fill the peel with olive oil until just a little bit of the white part is still sticking out.
Use a lighter or matches to start the white bit burning. It may take a few seconds to get it going. Maybe next time I'll let the peel dry out a bit before adding the oil and see if it lights faster.
And that's it! Enjoy your candle!
Sadly, it doesn't smell like an orange while it's burning, but maybe adding some orange oil or perfume oil could fix that. I'll have to experiment a bit and see how it goes.