aahh... rear curtain sync

Not sure about the settings to use on your Nikon, but
in general I usually start off with around 2 stops below the perfect exposure.
As for setting up... I'm not sure what sort of set up you're going for but I've got some ideas that you or other people reading this link may want to try :
1. When to fire the shutter :
Have you tried positioning a pole or something at the top edge of the frame, but not visible through the viewfinder ? That way you know when to fire the shutter using cable release or a willing volunteer to drop/throw the object.
2. Set up :
If you place the orange on a table in front of the camera and manually focus in to get a crisp image, then (remembering 2 stops below is a good rule of thumb) set aperture to maybe reduced but not minimum depth of field, and set the shutter speed. The shutter speed will relate to how far away the camera is from the subject and therefore how long it takes for the orange to travel to the position you want to capture it in the image. You'll also need to set the flash distance/intensity and you may want to move the flash around so that it doesn't fire directly on to the waxy surface of the orange causing some parts of the orange to 'white out'. As for the ISO - well I'm not sure what you think but I would initially go for around 200 - 400 to reduce the noise.
3. Path of the orange :
Now you've set up for the correct focus and exposure you'll need to ensure the Orange passes through that point. If you take a piece of string with a weight on the end, place the weight over the orange and mark the pole and a cushion or beanbag with a cross on the floor so that you know where to drop from and the point you want the Orange to land. The Orange should then pass through the manually focused point.
Then all you should need to do is set rear sync on you camera or external flash and good luck ! I look forward to seeing your results

(If you use front curtain it'll appear like the orange is travelling in the opposite direction !)
Oh... and you may want to consider a black background
Happy days !! Hope this in any way helps
