For SPAM messages, see
Stop Spam Texts and Unwanted Marketing SMS Messages - ICO
All the UK operators have a spam address you can forward them to so they can block the number.
As you have said, Orange say they can't block numbers (
Sorry, an error occurred | help & support | Orange UK so you have to do it on your handset.
There are a couple of Apps out there that should help. Go to the OVI store and search for "blacklist". Unfortunately they all seem to cost a few pounds but if they are really bothering you I'm sure that wont matter!
Another way for calls is to group them, then assign no ring tone to that group. Don't know if that will work for SMSs though (I've got an older Nokia).