Make sure you only use the orange part of the peel. This is called the 'zest'. It is what adds the flavor to whatever you place it in. If you like Vanilla, place a few vanilla beans in your vodka, however, DO NOT let it sit like that for too long, or you will have some really good vanilla extract.
While you have me on the subject of Vodka, you must try STON Vodka, from Estonia. Great stuff, very smooth, and a very light flavor. Makes a killer Martini, Kamakazi, or Lemon Drop