Preheat the oven to 200C/400F/Gas 6. Dry fry the breadcrumbs until golden, then mix with the juice from two of the oranges and half the lemon juice. Add one tablespoon of the oil, the pine nuts, raisins, sugar and seasoning.
Place a spoonful of the bread paste in the centre of each sardine and roll up tightly. Arrange in an ovenproof dish with a bay leaf tucked between each fish. Drizzle over the remaining oil and bake for 15 minutes, then drizzle over the remaining citrus juices. Serve at once.