1. Preheat the oven to 375ºF (190ºC.)
2. Put the plums in a baking dish that will fit them all in an even layer. Drizzle the honey over the plums and add the vanilla (or cinnamon stick), citrus slices, and wine. Gently mix everything together then spread the plums back out so they are in an even layer.
3. Cover the baking dish snugly with foil and bake for 30 to 45 minutes, removing them from the oven midway during roasting to gently stir them. Depending on the plums, they may cook more quickly than noted here, so check them a few times to make sure they don’t get overcooked. You want them soft and cooked through, but not cooked to mush.