Combine the orange juice and sugar in a small saucepan and bring to a boil over high heat. Cook until reduced to 1 cup. Add the Grand Marnier and cook for 1 minute. Remove from heat and let cool to room temperature, then cover and refrigerate. (The orange syrup can be made up to 1 week in advance and stored in the refrigerator.)
In each of 4 to 6 rocks glasses, stir together 2 tablespoons of the cold orange syrup and a shot of vodka. Add a scoop of ice and top off with club soda. Float a slice of orange on top of each drink and serve.