To marbleize dough, roll out a 1/2-inch-thick rope of Chocolate Dough. Roll out a 1/2-inch-thick rope of Vanilla Dough. Pinch off a 3/4-inch piece from each rope. Roll together into 1 ball. Arrange balls on parchment-lined baking sheets, spacing each 1 inch apart.
Press a well into the center of each using your finger. Refrigerate until firm, about 30 minutes. Bake at 350 degrees for 7 minutes. Remove from oven, and press well again with handle end of a wooden spoon. Bake until firm, 7 to 9 minutes more.
Let cool completely. Spoon candied orange peel into thumbprints.