Thaw fish, if frozen. Rinse fish; pat dry. In a small bowl stir together dill, oil, salt, and pepper. Brush both sides of fish fillets with dill mixture.
For a charcoal grill, arrange a bed of orange slices on greased grill rack directly over medium coals. Arrange fish on orange slices. Cover and grill for 6 to 9 minutes or until fish begins to flake when tested with a fork (do not turn fish). (For a gas grill, preheat grill. Reduce heat to medium. Arrange orange slices and fish on greased grill rack over heat. Cover and grill as above.)
To serve, use a spatula to transfer fish and grilled orange slices to a serving platter. Squeeze the juice from orange wedges over fish. Makes 4 servings.