Preheat the oven to 350 degrees. Cut each squash in half lengthwise and scoop out the seeds. Place the squash cut side up on a rimmed baking sheet and drizzle with oil. Bake for about an hour until the flesh is soft and tender. Let cool enough so that you can handle them and then scoop out the squash into a large pot, discard the skin.
Cover the squash with the chicken stock and add in the orange zest and rosemary. Bring to a boil and simmer for 15 minutes.
In a blender or food processor (or if you have a stick blender use that) puree the soup in batches until smooth and return to the pot. Stir in the salt and cayenne pepper and taste for seasoning. If the soup is very thick, thin out with more chicken stock. Ladle the soup into bowl and swirl in a little bit of cream into each bowl. Serve immediately.