Only use freshly squeezed orange juice and fresh or frozen orange zest (the dark part of the orange skin). A medium orange will easily yield the juice and zest required. Grate the orange with the fine part of a grater down to the lighter part of the skin.
Be sure to finely chop the pecans almost to a powder. You want the flavor and texture, but the size of the nuts needs to be small.
When the dough is initially made it will appear crumbly. Chilling the dough keeps the butter from blending completely with the flour and results in the "shortbread" texture of the cookie.