Yield: about 3.5 L, 50 proof.
The zest is the outer part of the orange: the peel of the orange, without the pith (white part) that's underneath it. There are a couple of approaches to removing the zest:
1. Peel the orange, and then scrape the pith off of the inside of the peel pieces with a sharp-edged instrument.
2. Leave the orange whole, and remove the zest with a zester. This is the approach I have been using more recently. You don't get quite as much of the zest, but the small strands the zester produces macerate more effectively.
Macerate** the zest in the vodka (in a closed container!) for a week. When it's ready:
Boil the water and dissolve the sugar in it. Turn off the heat. While the syrup is still hot, add the coffee and stir until it's dissolved. Allow the syrup to cool to room temperature. Mix in the vodka and vanilla. Let stand for at least two weeks - the longer the better. It will improve with age.
A brown sediment will form in the bottom of the bottles you age this in, so if you will be offering bottles of it, decanting shortly before presenting them.
* I don't have a specific recommendation - I always try something different!
** Soak, to extract the flavor