Another alternative that I've used with much success is to make an orange zest extract in vodka, and then add this to the keg/bottling bucket. To do this, I get 3 fresh, large-ish oranges, zest them, and put the zest in around 3 ounces of vodka. I've never tried it with store-bought fruit, but presume that they would do okay too (we live in SoCal, and fresh citrus is just a matter of walking to a neighborhood tree). The technique works great in my orange wheat beer! I'll probably try something similar with a grapefruit wheat in a few weeks.