Mix all the ingredients directly in a saucepan: wine, sugar, lemon and orange zest, cinnamon, star anise, cloves, ginger, and nutmeg.
Heat until everything is simmering without boiling. Continue cooking at a simmer for 8 to 15 minutes, stirring gently from time to time. From 8 minutes start to taste and continue the infusion if you feel it doesn't taste enough. With all those spices, you should not exceed 15 minutes.
Finally, when your mulled wine is spicy enough, you can filter your preparation and remove all the spices.
Serve your mulled wine very hot in glasses and place an orange slice per glass.