Once you've decided that your vodka tastes perfect, you have a few options: drink it or store it.
If you want to serve it as-is, you can leave your orange vodka unfiltered, but bear in mind that your infusion will continue to ferment and the fruit you're using will continue to ripen, and we all know that fruit is not tasty once it becomes overripe. If you leave the fruit in after it's overripened/brown, that WILL impact the flavor of your vodka, and will, after a few more days, become too unsavory to drink, so you'll want to consume it quickly. You can always add more fruit, it's hard to salvage a bad batch of vodka.
If you want to store it, or don't want a bunch of oranges floating around your vodka, your next step is to filter it.
You're going to need to set up your second container for filtration; if you're using coffee filters you may need to secure them to the jar if they start to slide into the container; you can use a rubber band for this, or a hair tie if you're lacking a rubber band.
Slowly pour your vodka infusion through your filter. You may need to change coffee filters or rinse off your filter when it gets clogged with orange or pulp. Depending on how much pulp is left after your first filter, you may need to run it through a second filtration process to clear it all out.
After that, you're ready to store it. If you've filtered it into a glass or unsealable container, you should wash out the original jar thoroughly before you pour it back in.
If you find that you've made your infusion too strong, simply dilute it by adding more vodka and allow it to sit for a day or two.
And this will be your finished product!