Set oven to 200C/400F/Gas 6.
Peel the fruit with a sharp knife, remove all the pith and cut into slices horizontally about 2.5cm (0.5in) thick.
Bring slices back together to reform the orange. Place on a foil square big enough to encase the orange and sprinkle with sugar.
Break the cinnamon stick in half and sprinkle over the oranges.
Bring together the edges of the foil and wrap around the fruit to form a parcel.
Add a teaspoon of Grand Marnier and scrunch together the foil at the top of each orange.
Bake in the oven for 10-15 minutes, until warmed and fragrant, and serve.