I want take a photo of a scene lit by a yellow-orange street light. Unlike many of the questions here, I don't want to balance the colours in the scene, rather I want the areas lit by that light to remain yellow. The street light is the dominant light source in the scene.
What white balance settings do I need to capture the cast of a coloured light?
Try sunlight. That'll give you a fixed setting which will assume a relatively "hot" light source, which will render the more-yellow light sources as yellow in your image. (Conversely, if you shoot actual sunlight in incandescent-wb, you'll get a strong blue cast.)
If your camera (or RAW processing software) allows you to set color temperature in Kelvin, try setting it around 5000, and adjust up and down to find the cast that looks right to you.
Aside: Somewhat unfortunately, the numbers used for color temperatures come from science rather than art, so hotter light is more whitish blue, and cooler light more yellow-red — the opposite of our natural sense of white/blue as cold and red/orange/yellow as warm. Oh well; just more functional jargon to learn. Rather than going into it in much more detail in this answer I'll just point to another couple of questions: What is color temperature and how does it affect my photography? and What is the meaning of "white balance"?, which have good information on the topic already.
Some built-in WB presets will also adjust on a magenta-green scale, which isn't taken into account by color temperature. This is important when photographing under some fluorescent lighting. If you're shooting under high-pressure sodium-vapor lights (like many streetlights), with their characteristic pink-orange glow, you're pretty much out of luck in getting any natural looking balance, because the spectrum is so narrow and strange. In that case, going with a daylight preset and just preserving the odd look may be best. Or, deciding not to worry about it and going to black and white.
For my taste, "tungsten" has worked best in such situation. The street lights are actually way more yellow than standard tungsten, but the eye somewhat adjusts to the color cast, so the photo will be quite similar to what was actually seen. For example, this shot is a (resized) camera JPEG, tungsten WB:
The grass and side of the bridge were lit by orange streetlights.
Set your WB to CTE (Color Temperature Enhancement)
This preserves the color-cast in the scene and actually emphasizes it a little. If you like the color-cast of street-lights, sunset and sunrise, this is purposely made for that.
Take a bunch of shots with the different settings and see which you like best! This is the great part of digital photography. Since you're intentionally trying to circumvent the camera's AWB guess, there's not going to be a single, specific right answer.
There is no simple answer to this as it depends on what the lighting produced by, there are several gasses and metal vapours used for street lights,some, such as metal halide are full spectrum, i.e. they contain all colours of the spectrum but just colour shifted, and some i.e. Sodium vapour are not full spectrum, without all the colours they will render as monochromatic and be impossible to balance. Add to that the problem of mixed light sources you will be faced with either a best average balance or doing several conversions and working with layers and layer masking to fix the colour issues!
