Combine wine, vodka, and sugar in a 3-qt. wide-mouth glass jar or ceramic jug, and stir until sugar is dissolved. Add star anise, vanilla bean, and the oranges; stir to mix.
Cover tightly, and store in a cool, dark place, stirring occasionally, for a month. Taste (it should have a slightly bitter orange flavor); if you’d like a stronger flavor, let steep for about 10 more days.
Strain the vin d’orange twice through several layers of cheesecloth into another jar. Store in the refrigerator.
Serve over ice, garnished with orange wedges.