Gently warm the cream and sugar in a small saucepan over medium-low heat until the sugar is dissolved and a few bubbles start to rise at the edge of the pan. Remove from the heat, then add the orange strips, cover, and let infuse for about 1 hour.
Make an ice bath in a large bowl and rest a smaller metal bowl on top of the ice.
Whisk the yolks in a separate bowl. Re-warm the cream mixture to a bare simmer. Slowly pour 1 cup (240 ml) of the cream mixture into the egg yolks, whisking constantly as you pour.
Pour the warm cream and egg mixture back into the saucepan and cook over medium heat, stirring constantly with a heatproof spatula, until the cream coats it. Strain the custard through a fine sieve into the bowl set over ice. Press any remaining flavor from the orange peels and discard them. Stir in a few drops of the orange oil, to taste, if using. Stir until cooled. Serve alongside the rice pudding cake (or poached pears, or brownies…)