Combine sugar and flour in a medium-size heavy saucepan; mix well. Add milk and butter; bring to a boil, stirring constantly. Stir in orange rind and juice and lemon juice. Cook over medium heat, stirring occasionally, until mixture reaches soft ball stage (240°).
Remove from heat; stir in pecans. Beat with a wooden spoon until mixture begins to thicken. Working rapidly, spread mixture on waxed paper; separate pecans with a fork. Let cool. Store in airtight containers.