I've done an orange hefeweizen thats pretty good.
I grate the oranges to get the zest (using the larger holed graters if available). Only grate the orange parts, leave all of the white **** (pith) on the orange. I peel the oranges, get all of the pith off you only want to see orange fruit. Cut the fruit into quarters, then cut the quarters into thirds.
Dump the zest and fruit into a pot with a half gallon of water and boil it. I start this at 30 minutes into my wort boil. Once the fruit mix hits about 170, I take it off to let it cool. I dump my wort into my carboy, then dump this mixture in right after it before aerating/pitching my yeast.
Alternative 1: Use the zest and some pure extract oil (I've had good results with
Boyajian instead of the fruit. With this method, you wont have to worry so much about the fruit meat soaking up beer, resulting in some beer loss.
Alternative 2: You could skip adding fruit to your primary, rack to secondary, and add your peel/fruit/extract then.
Whatever you decide to do, just remove all of the white pith from the orange, it's ultra bitter and will make the beer taste like garbage.