Combine the lemon juice, wine, and garlic in a mixing bowl and pour over the fish. Cover and refrigerate for about an hour, turning once.
Preheat the oven to 350 degrees F.
While the fish is marinating, prepare the sauce. Combine the wine with the ground fennel, thyme, leeks, and salt and pepper in a covered nonreactive saucepan. Bring to a boil, reduce the heat, and simmer for 5 minutes.
Add the fennel and continue to simmer for about 5 more minutes, until the vegetables are just tender. Crumble in the saffron. Add the orange juice and cook for another 2 minutes.
Pour the sauce over the marinated fish steaks, cover, and bake for 25 to 30 minutes.
Remove the dish from the oven and turn the oven to broil. Uncover the fish and decorate with the orange sections. Broil for 3 minutes, then serve immediately.