Grate rind from orange, taking care not to remove any white pith.
Place rind in saucepan, cover with water, simmer 5 minutes.
Pit dates, fill with small amount of orange rind, press together.
Place sherry in basin, add dates, cover; leave overnight or at least 1 hour.
Chop chocolate and shortening, melt in top of double saucepan over hot water.
Drain dates slightly. Using tongs, dip dates in melted chocolate; place on waxed paper until chocolate has set.