Heat oven to 160C/fan 140C/gas 3. Cut a large square of foil and put it in a small baking tin. Using a sharp knife, cut 2 large strips of zest from the orange. Add the juice from the orange and all the other ingredients, and mix lightly.
Make the foil into a parcel, enclosing completely, and put in the oven for 10-15 mins, until piping hot. Serve hot or warm as a pre-lunch nibble.