1. Prepare a medium-hot fire in a barbecue grill. In a small bowl, stir together oil, orange juice, lemon juice, honey, marjoram, orange zest, lemon zest, salt, and pepper. Brush some of glaze over chicken and let stand at room temperature 30 minutes.
2. Grill chicken, skin side down, 10 minutes. Turn and grill 5 minutes. Brush with glaze and continue to grill, turning and brushing occasionally, until chicken juices run clear when pricked with a knife tip, 15 to 20 minutes longer. Stop basting at least 5 minutes before chicken is done.
3. A few minutes before chicken is done, brush orange and lemon slices with some of the glaze and grill at edge of grill, turning once, until both sides are lightly tinged with brown, 1 to 2 minutes. Serve chicken garnished with grilled citrus slices.