it's hard to say without a picture, but the only beneficial bugs i can think of that would involve orange are ladybugs and asassins. obviously you'd know if it were ladybugs, but it could be the ladybug larva that you are not recognizing. google it to see them. they are easy to recognize once you've seen one - primarily black, however.

the asassins are bright orange with long black legs. they look very mean, but are in fact peaceful. they will bite if they feel threatened. i think they are related to the walking stick. try googleing those as well.

both the asassins and ladybugs eat aphids.