Mix juice and zest from the orange with oil and spices in a small bowl. Place the chicken wings in a plastic bag and pour in the marinade.
Give the bag a good shake to cover the wings thoroughly. Put aside to marinate for at least 5 minutes but preferably more.
Place the wings in one layer in a greased baking dish or on a broiler rack, for extra crispiness.
Bake on middle rack in the oven for about 45 minutes or until the wings are golden brown and thoroughly cooked.
Divide the broccoli into small florets and parboil in salted water for a couple of minutes. They're only supposed to soften a bit but not lose their shape or colour.
Strain the broccoli and let some of the steam evaporate before adding the remaining ingredients. Cook for 2-3 mins until the cheese melts and the sauce thickens Serve the broccoli with the baked wings.