There's two ways to do it. Either you soak the orange in the vodka so that the vodka becomes flavored, and add that when you bottle, or you soak the orange in vodka to sanitize it, and then pitch the sanitized orange into the brew.
1. if youre macerating citrus peels/zest in vodka to make an orange extract for flavoring, then you want to give it a lot of time. 2-3 weeks minimum. You can then add this right before bottling, to taste. if you're only using the vodka to sanitize the orange, then it's pretty much done in no-time. You could let it sit overnight to be safe.
2. if you're going the route of using the orange to flavor the vodka to make an extract, just add it at bottling time. If you're adding the orange to the beer after sanitizing with the vodka, then i'd let it soak as long as you can stand it - longer = more flavor extraction.