Put the sugar into a large saucepan over a medium heat and add the pieces of peel and squeeze in the orange juice, cloves, cinnamon sticks, the vanilla bean, and then stir in just enough red wine to cover everything in the pan.
Simmer until the sugar has completely dissolved and then bring to the boil. Boil for about 3 to 4 minutes, or until it has reached a nice syrupy consistancy.
Reduce the heat down to low and add the rest of the wine. Gently heat the wine and after 5 - 6 minutes, when it has warmed, ladle it into heatproof glasses and serve.
It is important not to add all of the red wine in step two, because to make the flavoured syrup you need to boil the liquid which burns off the alcohol