Peeling an orange with thick skin is so easy to do, but it's more fun when peeling it all off in one go. What you will be left with is a swirly orange peel piece, that you can save and use as a decoration next time you serve fruit drinks.
Steps
Get a sharp knife, with a pointy end (not a butter knife).
Hold the orange with one hand and the knife with the other. Insert the pointy edge of the knife into the top of the orange, around where the navel is.
Rotate the orange with one hand while holding the knife steady with the other, pulling the knife gently towards your body in order to create a spiralled, curling orange peel.
Keep the width of the peel large enough, so that your peel will remain in one piece.
Don't cut yourself. Always be careful with knives.
Some oranges are easier to cut than others. The ones with thicker peels are usually easier to get off in one piece. If the peel is really thin, just cut it open.
The white part of an orange between the slices and the orange and the peel has a lot of vitamins and is very good for you.
You can grind the orange peel and use it for cooking or baking. Ensure that it is well-washed first to remove any dirt or pesticides.
Gently rolling the orange between your hands will loosen the peel and make peeling much easier.
Rather than a knife you can also use an orange peeler. There are many options, the cheapest and easiest to use having a simple plastic hook with a handle, the most expensive being similar to an automatic potato peeler.
Warnings
Be careful with knives!
Squeezing the orange while you cut it would be a bad thing and probably shower you in juice.