Gently tap the base of the blade where it joins the handle with a mallet or hammer until the squash falls open. Scoop out the seeds and fibers and proceed as you would for a squash. The seeds are crisp and delicious toasted. Calabaza generally cooks more quickly and is less watery than pumpkin. It is best when well seasoned and mixed with other ingredients for dishes such as soups, stews, pies and custards.
Slice tops off oranges to form a container for calabaza mixture, and hollow out flesh.
Save orange juice, flesh and rind. Level off base of oranges so that they will stand upright. Fill hollowed orange shells with the calabaza mixture. Place in a baking dish. Sprinkle tops with nutmeg and chopped nuts.