Heat the oil in a large, deep sauté pan over medium heat. Add the chorizo and cook for 5 minutes or until just browned on both sides. Remove from pan; set aside. Sauté the onion over medium heat for 5 minutes or until soft. Add the garlic and cook 1 minute. Add the lentils and cook over high heat for 2 minutes, stirring constantly. Add the wine and simmer until almost evaporated, about 3 minutes. Add the broth. Bring to a boil, reduce heat, and simmer, partially covered, for 40 to 45 minutes, stirring occasionally, until the lentils are quite tender. Meanwhile, squeeze the juice from 2 of the oranges. Remove the peel and pith from the remaining oranges and slice the flesh into ¼-inch rounds. Add the chorizo to the lentils and stir in the orange juice. Season with the salt and pepper. Remove from heat and gently fold in the dill and orange rounds.