Preheat oven to 300F.

Grind fennel seeds coarsely using a mortar and pestle or a spice grinder.

Combine ground fennel seeds, orange zest, and chopped rosemary leaves in a metal measuring cup or small metal bowl.

Pour peanut or vegetable oil into the mixture.

Place the measuring cup or bowl on a baking sheet.

Cook in the lower third of the preheated oven for 1 hour and 20 minutes.

Remove from the oven and cool on a rack for 30 minutes.

Line a small strainer with several layers of cheesecloth.

Strain the infused oil into a clean glass jar.

Store the flavored oil loosely covered in the refrigerator for up to 1 month.