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I've never started oranges from seed so I'll let someone else advise you on how to do it, but most oranges are hybrids and won't come true from seed so you will likely end up with something that doesn't taste nearly as good as the orange you got the seeds from. Also many orange trees will grow fairly large on their own--many of the ones you buy at nurseries have been grafted onto dwarf rootstock to keep them a bit smaller. So if you just want to do this for the fun of growing something from seed then go for it, but if you want to be sure you'll have edible oranges at the end or if you've got a limited amount of space for the tree to grow you'd be better off buying a plant from a nursery instead.