Combine first 9 ingredients in a bowl. Add shrimp; toss to coat. Cover and marinate in refrigerator 15 minutes.
Remove shrimp from dish, reserving marinade. Thread shrimp and orange quarters alternately onto each of 8 (8-inch) skewers.
Heat large grill pan coated with cooking spray over medium-high heat. Cook skewers 4 minutes on each side or until done, basting with reserved marinade.