Finely grate the zest of two of the oranges, avoiding any pith, then peel them with a sharp knife, removing all the pith.
Run a sharp blade either side of the thin membranes, releasing whole segments one at a time. Let them drop into a bowl along with any juice that drips while you are performing this operation.
Make a dressing by mixing the olive oil with 1 tbsp saved juice, the finely grated zest, a pinch of sugar and a little salt and pepper.
Toss the leaves with this dressing just before serving and scatter the segments of orange among the leaves.