Use a small sharp knife to peel the orange, starting at the top; be sure to remove all the white pith from the fruit. To section an orange, gently slice on both sides of the orange section membrane.
The shrimp, orange wedges and onion wedges can be grilled in a grill basket instead of on skewers.
The Orange Marinade and Dressing can be prepared one day ahead;
cover and refrigerate.