Use a fine grater or handheld plane grater to remove the peel from the orange and lemons. Be sure to avoid the white pith, as it will impart an unpleasant, bitter taste.
Sanding sugar can be found at some grocery stores and in the baking section of most craft stores.
Other citrus peels such as lime and grapefruit can also be used in this recipe. If using lime peel, use green liquid food color; if using grapefruit peel, use yellow food color or yellow and red food color to make pink dough.