Line a 9- x 5-inch loaf pan with plastic wrap, and chill. Peel and section oranges, squeezing membranes and reserving juice in a separate bowl. (Every drop of juice counts.) Mix together orange sections and next 3 ingredients.
Combine freshly squeezed orange juice with additional orange juice to make 2 cups, and boil with sugar in a saucepan. In a separate bowl, sprinkle gelatin over 1 cup additional juice, and let soften 1 minute. Pour boiling orange juice into gelatin mixture, and whisk until gelatin has dissolved.
Pour orange-coconut mixture into prepared loaf pan. Cover with juice mixture, cover with plastic wrap, and chill at least 3 hours. Slice terrine, and serve immediately.