Step 1Coat a cocktail glass with orange peel oil: Hold a lighted match in one hand a couple of inches above the glass. Hold a piece of orange peel (peel side down) in the other hand (between the thumb and forefinger) above the lighted match. Squeeze the orange peel sharply, propelling the oil through the lighted match and onto the inside of the glass. Repeat with 3 more pieces of orange peel (you should see a film on the glass), discarding the peels.
Step 2Fill a mixing glass with ice, then pour the infused vodka and sherry into the glass. Add the dash of bitters. Stir to chill, then strain the contents into the orange oil-coated cocktail glass. Flame the remaining piece of orange peel and drop it into the drink for garnish.