Preheat the oven to 250°. Spread the orange zest in a thin, even layer on a rimmed baking sheet and bake the zest for 15 minutes, or until completely dry, stirring halfway through.
Lay the cheesecloth on a work surface. Spoon 2 tablespoons of the orange zest in the center of each square and top with 4 cloves, 2 cinnamon stick halves, 1 star anise pod and 1/4 teaspoon dried mint. Gather each square into a neat bundle and secure with kitchen string.