Zest the oranges the night before and put the zest in the freezer. Then when putting in the zest, halve the zested oranges and throw them in the boil.
Make sure you soak the vanilla beans in about a cup of vodka for about a week. At bottling / kegging time, filter out the vanilla beans and add the vanilla vodka to the beer to taste.
Feel free to tone down the lactose as well (maybe do 10oz instead). It does make it sweet, but the hops generally balance it out pretty well.
This beer is an evolution of some past recipes I've built along with some inspiration from other recipes I've seen. It started out as an orange wheat pale ale and with the milkshake ipa craze I thought it would be fun to try it. It's been a massive hit with everyone who's tried it and I get asked for it all the time.