Heat oven to 350° F. In a bowl, whisk sugar with eggs. Stir in milk and vanilla. Pour into 4 custard cups or ramekins; set them in a baking pan. Pour hot water into the pan so it comes halfway up the sides of the cups. Bake until the custard is set, about 45 minutes. Remove the cups from the hot water, cool briefly, then refrigerate until set, about 1 hour.
Peel and section oranges. Toss the sections with sugar, vanilla, and rum (optional). Spoon the marinated fruit over each custard and serve.