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Scald milk in a bowl sitting over a pot of very hot, not boiling, water.
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Pare the orange like an apple, going round and round so that the peel is in one long spiral.
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Add the orange peel, rice, sugar and salt to the scalded milk.
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Cook, covered, over the hot water OR over a low flame until the rice is tender - usually 20-30 minutes.
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Stir with a wooden spoon occasionally during the first part of the cooking.
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Remove the peel.
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Combine cream and egg yolks well.
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Whisk a spoonful of the hot milk mixture into the yolks.
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Then add a little more, being careful to go slowly so you don't cook the yolks.
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When you have a cup of the cream and yolk mixture successfully added to the hot milk mixture, add this all to the hot milk, whisking constantly --
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Continue cooking, covered, about 20 minutes, stirring now and then.
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Remove from heat.
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Add vanilla.
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Pour pudding into cups and serve.
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You can chill these also, if desired.
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[scalding milk can seem intimidating - you can just heat the milk to JUST boiling and then cheat by adding cornstarch dissolved in cold water to make a runny paste, in small amounts until the milk is thickened to where you would like it to be - depending if you'd like this to be soupy or quite firm as a pudding.
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do NOT be afraid to experiment.