You will need
Grain alcohol or vodka* (a cheap grocery store brand such as Popov vodka is perfect for this project because it tastes downright nasty in a mixed drink.)
Tray, cookie sheet, or towel
Knife or food processor (the food processor/chopper is easier!)
Two jars, one should have a tight fitting lid
Eat a bunch of oranges, clementines, or mandarins and save the peels. Yum, yum, yum!
Lay the peels on the cookie sheet, tray or towel and let them air dry (do not put them in a dehydrator or you will lose the oil!) until the peels are rock hard. It took my peels about one week to dry.
Use the food process/chopper/knife to cut the dry peels into small bits. Do not over process the peels in the food processor/chopper until they are mushy or you will lose the oil in the peel.
Add the chopped peels to the jar with the tight fitting lid and cover the peels in grain alcohol or vodka.
Shake the jar to release the oil several times a day for several days. The longer you let the peels steep the more orange oil you will extract. I let mine sit in a sorta sunny spot on my kitchen counter for a weekend.
Use a coffee filter to strain liquid from the orange peels and into the second jar.
Place a clean coffee filter or cloth on top of the jar of liquid. Allow the alcohol to evaporate from the jar. I let mine sit for one week.
Optional: I had sediment in the bottom of my jar of orange oil after one week. It isn't going to hurt anything. I had an extra disposable coffee filters that I know I wouldn't use for coffee ( I use a reusable gold coffee filter. It's supposed to make better coffee.) I strained the orange oil again with a clean coffee filter into an amber jar (a repurposed yeast jar.) A dark colored jar will keep sunlight from degrading the essential oil.
What you have left is a jar of orange essential oil!