Coat the inside of a chilled martini glass with fino sherry and toss out the excess. Flame several orange peels into the glass. Add the vodka and strain into the seasoned glass. Garnish with an orange peel.
Flaming: You can create a festive pyrotechnic display for your guests with the oil present in the skin of lemons and oranges. To flame the oil, hold a lit match in one hand, and the twist in the other. Hold the twist by the side not the ends, between thumb and forefinger, skin side down, about 4 inches above the drink. Don't squeeze or you'll lose all the oil before you flame. Hold the match between the drink and the twist, closer to the twist. Snap the twist sharply, propelling the oil through the lit match and onto the surface of the drink. (Be sure to hold twist far enough from the drink to avoid getting a smoky film on the glass.)
Demonstrated by Dale DeGroff and Pepe Ruiz, Chasen's, Los Angeles, CA