Using a sharp kitchen knife, remove the peel from the oranges along with the white skin, then cut the slices from the separating skins.
Stir the orange marmalade with the juice of one lemon. Add the Philadelphia cream cheese, the heavy cream, the whisky and the sugar and stir to a smooth cream.
Pour the cream in layers with the orange slices into a suitable bowl or portioned bowls. Leave to cool until serving.