sure won't hurt to try - you will have to cut the oranges open for them. pretty much, you can feed them any kind of people food in moderation, keeping in mind that sugars and salts aren't the best for them, (or us for that matter). Only foods I have heard you need to be cautious about are potato peelings and beans. Having said that, I also think there is a huge chance that it is just folklore that you shouldnt feed them those two items.
Enjoy!