Place one of the apples upright and make deep cuts from the top down through it to within 2 cm (¾ in) of the bottom to divide it into eight equal segments. Do the same with the remaining apples, then place them close together in a shallow ovenproof dish.
Gently push a quarter of the prunes into the centre of each apple – they do not have to go all the way down. Sprinkle the apples with the brown sugar and pour the port over them. Add the lemon and orange zests, cinnamon stick and cloves, if using, to the dish.
Bake, uncovered, for 15 minutes, then reduce the temperature to 180°C (350°F, gas mark 4) and bake for a further 45 minutes-1 hour, basting the apples with the port every 10-15 minutes until they have softened but not broken up and the port has reduced to a syrupy consistency.
Serve the apples on individual plates with the port sauce spooned over them. Sift a little icing sugar over the top and accompany with fromage frais or yoghurt, if you like.