Put the peppercorns, fennel seeds and cinnamon in a large tea ball or wrap them in cheesecloth and secure them with kitchen string. In a large saucepan, combine the aromatics with the wine, bay leaves and orange zest. Cover and simmer over low heat for 10 minutes. Remove from the heat and let stand, covered, for 30 minutes. Remove the aromatics and orange zest strips. Stir in the sugar until dissolved. Serve warm, in glasses or mugs.