During this last round of being broke I took using every bit of food to new heights. Which meant I had to buy ingredients only, never 'food' as such. Baking everything from scratch, however, meant that I went thru' even ingredients at a rapid pace. And things like extracts can be expensive!
So even every orange, lemon, and lime we ate had to do double duty. We'd eat the orange/use the juice of the lemon or lime, and then the peel would be transformed into the citrus extract du jour. They are VERY easy to make, except for the price of the vodka. And as you all know while it is legal to homebrew your own beer and wine it is NOT legal to distill your own liquor.
Anyway, take the peel of the citrus fruit in question. Just the colored part as much as possible, the white pith is pretty darn bitter. Put it in a jar (I prefer glass jars, YMMV). Cover it with vodka. Rum or Everclear or whatever might be fine, too, but I use cheap vodka. You can probably add up to a pint for one orange, somewhat less for the smaller fruits. Let it sit for a few days. Strain. Done.
If you're in a hurry, just use a microplane grater on the fruit you want the flavor of and add the peel to the dish, but it's not quite the same.
If you were actually after essential oils for some ritual use ... add the peels to a small amount of flavorless vegetable oil, like peanut or 'vegetable oil' and let it sit.