Preheat the oven to 190°C. Put the onions, garlic, carrots, fennel, bay leaves and thyme in a fairly deep roasting tin and stir until mixed together. Add the orange zest and olive oil and mix thoroughly.
Place the sausages on top of the vegetables. Bake for about 25 minutes until the sausages are lightly browned on top.
Meanwhile, place the lentils in a large saucepan and cover with boiling water. Bring to the boil, then reduce the heat, partly cover the pan and boil for 15 minutes until just tender. Drain well.
Lift the sausages out of the roasting tin and set aside. Stir the wine, redcurrant jelly, mustard and orange juice into the vegetables in the tin, then add the lentils and stir in with a fork. Reposition the sausages on top, turning them browned-sides down.
Bake for a further 20–25 minutes, until the sausages are well browned and the vegetables and lentils are cooked. Remove the sausages to a board and thickly slice them on the diagonal. Discard the herbs from the lentil mixture, then lay the sausages back on top and serve garnished with orange wedges.