Preheat the oven to 375 degrees F.
Fit the beets snugly into a pie plate or casserole pan and pour in enough water to cover the beets by one-third. Scatter some salt over the top and cover tightly with tin foil. Bake until soft but not falling apart, 30 to 40 minutes, depending on size and density. Check them with a fork for doneness.
Combine the lettuces in a salad bowl. The mix of the bitter radicchio and the heartier escarole is not only physically gorgeous, but it tastes great too!
Cut the ends off both oranges, and then cut the peel off in a downward motion all the way around. Save the peels, as you will use the juice in them for the dressing. Thinly slice the oranges and toss into the lettuces.
Let the beets cool before peeling. I like to cut them into quarters, and then slices from there because I like the look, but any reasonable bite-size slice works. Toss them into the salad.
For the shallot sherry dressing: Put the shallots into a container with a tight-fitting lid so you can really shake it for all its worth-hand emulsifying, if you will.
Add the sugar and a good pinch salt, followed by the olive oil, vinegar and any juice that you can squeeze out of the orange peels left over. Cover the container and really shake it so it becomes completely combined and cloudy. Taste for balance; you want it to be balanced between sweet and tart, so if it needs more salt or sugar, feel free to add it.
Dress the salad, toss with (clean!!) hands, grind a couple of grinds of pepper over it and serve.
You can reserve the beet greens for use in other dishes, such as South by Southwest Greens.