Citrus trees are simple to grow from seeds, but you could wait a long time for the first fruits to develop. For example, if you plant the seed from an especially tasty orange and nurture that tree for better or worse, you may have to wait 8 to 15 years for that seedling tree to bear fruit. Also, you can’t be sure what type of new tree you’re going to get! Usually, 75% of the seedlings will grow into a tree that will produce fruit just like the one you enjoyed. The others may produce somewhat similar fruit, but different in color, taste, or size.
Citrus trees grown from seed often grow larger than the parent tree which produced your fruit and can be noticeably thornier. In general, it would be much easier to purchase a grafted tree with an identifiable scion/rootstock label (e.g., ‘Hamlin’ Orange/ ‘Swingle’ citrumelo) than to grow one from seed. A grafted tree would bear in three or four years and yield exactly the kind of fruit you were expecting. And you'll get the added, beneficial effects from a carefully chosen rootstock.
Bottom line: unless you're adventuresome, totally patient and have a bright green thumb, buy a grafted tree from a reputable nursery in your area.

Additional Resource
http://edis.ifas.ufl.edu/HS116