Cedar paper is a real thin slice of untreated cedar wood. It is fun to play with and sort of reminds me of cooking with parchment paper packets. You soak the cedar in water, wine, sake or any other flavor you would like to steam with. Wrap the food and put it on the grill. It starts out steaming the food, then as it dries out the paper will start imparting smoke. The cedar flavor itself is very subtle and is more to do with the flavors you add to the wrap. It also makes a fun presentation to serve still on the cedar. Grill stores sell them in small stacks of 8 or you can find them in cooking stores. I have even seen them at Target.
So after soaking the cedar paper, I laid some orange slices down the middle of the paper going with the grain of the wood. Then laid a layer of asparagus on top. Added some chopped up bacon, some fresh cut dill and salt and pepper.
Rolled it all up and tied it with a string. Grilled it on a hot grill (400-450°) for around 4 minutes then flip for another 4 minutes.
Cut the string and serve. Cedar paper is also great for fish, just replace the asparagus with fish and follow the same steps.