Preheat oven to 350 degrees.
After baking the sweet potatoes, let cool slightly, then scoop out the sweet potato from the skins. Place in a bowl and mashed with a fork. Discard the skins. This can be done the day before if you'd like.
Add melted butter, vanilla, and brown sugar to the bowl of sweet potato. Mix well.
Cut a thin slice from the top and bottom of each orange to make a flat surface.
Cut each orange in half and scoop out the pulp (reserve the orange segments for another time).
Place the orange cups on a baking sheet.
Spoon the sweet potato mixture evenly into each orange cup.
Top each with a large marshmallow and a pecan half.
Bake until marshmallow is toasted and brown and potatoes are warm, about 15-20 minutes.
Serve warm and enjoy!