Up to 2 days ahead, shake all the dressing ingredients together in a jar. Season and chill.
Up to a day ahead, peel and deseed the orange. Cut the segments from the membrane and chill.
Up to an hour ahead, slice the chicory in half diagonally so you get loose leaves and a solid stalk end. The leaves will be easy to separate, thinly slice the stalks, add the orange, lamb’s lettuce and watercress. Chill until needed.
To serve, when you’re ready, toss in the dressing.