Slice lemon and orange in a thin rounds. Set aside
Put the sugar in a large saucepan over medium heat, add the pieces of peel and add in the orange juice
Add the cloves, cinnamon stick, bay leaves and about 10 to 12 gratings of nutmeg.
Throw in your halved vanilla pod (or use vanilla essence) and stir in just enough red wine to cover the sugar.
Let this simmer until the sugar has completely dissolved into the red wine and then bring to the boil.
Keep on a rolling boil for about 4 to 5 minutes, or until you've got a beautiful thick syrup.
The reason doing this first is important is to create a wonderful flavour base by really getting the sugar and spices to infuse and blend well with the wine.
It's important to do make a syrup base first because it needs to be quite hot, and if you do this with all of the of wine in there you'll burn off the alcohol.
When your syrup is ready, turn the heat down to low and add your star anise, orange & lemon slices and the rest of the wine.
Gently simmer the wine and after around 5 minutes, when it's warm and delicious, ladle it into glasses and serve.