Heat the oven to 140C/275F/Gas1.
Divide the orange segments between each terracotta dish. Put the cream and vanilla pod into a saucepan and heat to boiling point. Cover and allow to infuse for 10 minutes.
Whisk the egg yolks and sugar together until pale and thick and add the cream. Stir well, strain and pour over the orange segments.
Cook in a water bath for about 20 minutes, until just set. Leave to chill overnight if time allows or for at least 2-3 hours.
Sprinkle sugar thinly and evenly over each dish and caramelise with a blowtorch (or under a very hot grill), repeat this process until you have golden crackling topping.
Leave to cool and serve within 2 hours.