Combine sugar and orange juice in 2-qt. heavy saucepan. Cook to soft ball stage (240°). Add a little food color to tint a delicate orange.
Remove from heat, add orange peel, vanilla and walnut halves. Stir until syrup begins to look cloudy. Before it hardens, spread mixture on a waxed paper-lined baking sheet so nuts do not overlap. When cool, break in bite-size pieces. Store in covered container, in refrigerator or freezer.