Gigi, I just used the peel as it came fresh from the orange. If you cook it all the way through, it gets too limp in the syrup. I'm not sure it would affect the taste, though.
You really want to know what I candied?
Green tomatoes. Yup, they're a fruit. They did ok, but they cooked in the syrup and got pretty limp. That was fun.
Besides that, I've tried apple pieces (not good, they turned to sauce - need to be dried first), cherries and lemon peel, which you do like orange peel.