Place the cream cheese, goat cheese, cranberries and orange zest in a bowl and combine thoroughly.
Scoop the mixture onto a large sheet of plastic wrap and gather the wrap together to form a ball about 4 inches in diameter. Refrigerate for at least 2 hours, then unwrap and roll in the toasted pecans.
The cheese ball can either be served at this point or re-wrapped and refrigerated for up to 3 days. Serve with crackers or thin slices of toasted baguette.