I am a brand new brewer, so I don't know all the tricks, but I just brewed up a Belgian Wit. I added orange peel for the last 10 mins of the boil. I have also read that some people add it to their secondary, if you plan on using a secondary...
I did one with lemon over the summer. Use a veg peeler to take off strips of orange zest make sure not to get any of the white stuff under the zest. Put them in the boil the last 5 minutes. That gave me a good amount of lemon flavor.
I did a blood orange wheat beer recipe that used 5 blood oranges cut into chunks with 2 peels from those same oranges, all heated with a cup or two of water to about 180 to sterilize and added right to the primary. Came out very good. On another brew I've used orange zest added in the last few mins of the boil. If you do this be careful not to get the white part, it's way too bitter. An easier way is to buy dried orange peel from the LHBS. Most have both bitter and sweet.
I have moved to a 10 minute and 2 minute addition...using 2 oranges per addition (per gallon). That can add up fast on large batches, you might consider raking your beer onto orange puree or marmalade in a secondary