Scald milk in a bowl sitting over a pot of very hot, not boiling, water.
Pare the orange like an apple, going round and round so that the peel is in one long spiral.
Add the orange peel, rice, sugar and salt to the scalded milk.
Cook, covered, over the hot water OR over a low flame until the rice is tender - usually 20-30 minutes.
Stir with a wooden spoon occasionally during the first part of the cooking.
Remove the peel.
Combine cream and egg yolks well.
Whisk a spoonful of the hot milk mixture into the yolks.
Then add a little more, being careful to go slowly so you don't cook the yolks.
When you have a cup of the cream and yolk mixture successfully added to the hot milk mixture, add this all to the hot milk, whisking constantly --.
Continue cooking, covered, about 20 minutes, stirring now and then.
Remove from heat.
Pour pudding into cups and serve.
You can chill these also, if desired.
[scalding milk can seem intimidating - you can just heat the milk to JUST boiling and then cheat by adding cornstarch dissolved in cold water to make a runny paste, in small amounts until the milk is thickened to where you would like it to be - depending if you'd like this to be soupy or quite firm as a pudding.