Cut the bottom off the lettuce and discard before finely chopping the lettuce, adding it to a large bowl. Cut the bottom of the bulb off the fennel as well as the long stalks at the top and discard. Finely slice the remainder of bulb adding it to the bowl with the lettuce. Remove the skin from one orange and slice into rounds before cutting these in half and adding them to the salad. Crumble over the feta and sprinkle over the dill and capers.