First, remove the peel of your orange and set aside.
In a small saucepan add 1/4 cup of milk, vanilla pieces, your orange peel, and nutmeg and whisk over low heat until your vanilla pieces are melted.
Remove your orange peel and whisk your remaining milk and heat through, add you vanilla and stir.
Serve warm in mugs and add your marshmallow ghost on top for some extra Halloween fun!