Bake shrimp according to package directions. Remove from oven and toss with orange sauce. Keep warm.
Spread prepared sushi rice on nori sheets, just enough to cover the sheet leaving a thin edge on one side uncovered. I've found wetting my hand with water helps to simplify the spreading of the rice.
Place a row of orange shrimp on top of sushi rice on the opposite end of the uncovered side.
Starting at the shrimp side, tightly roll the nori sheet. Cut into bite size pieces about an inch thick.