When I feed my goldie oranges, I use a veggie clip to hold it in place. The meat of the orange can be difficult for a goldfish to get a hold of and take a bite, so you might want to try cutting it a bit before putting it in. The "convulsions" are likely your fish's attempt to rip a piece off.

You do have to be careful about the acidity of citric fruits. They should never be left in the tank for a very long period of time or they may mess with your pH. It's probably best to only put a little bit in, let your fish chew on it for a while, and then remove it. You could also cut it into small bits and handfeed (I love handfeeding... I get fishkisses all over my hand! :heehee)