Shell one lobster and cut the meat into pieces. Heat 3 tablespoons olive oil in a large pot on medium heat. Add 3 tablespoons butter and melt. Add lobster meat and both heads, leek, half the onion, celery, carrots, 3 sprigs of thyme, half the orange peel and the tomato paste. Cook 10 minutes until the heads turn red and the vegetables are tender.
Remove the pot from the stove and add 1/4 cup of Cognac. Light the cognac carefully with a match and leave to burn out. Return to the stove, sprinkle with the flour, stir and cook another 2 minutes. Cover with water and stir well, carefully scraping off and removing any brown bits off the bottom of the pan with a wooden spoon. Add cream and bring to a boil. Reduce heat immediately and simmer 30 minutes or until the soup has reduced and thickened. Strain into a clean pot and season with salt and pepper to taste. Keep hot.
Meanwhile, pre-heat the oven to 200ºC. Heat the remainder of the olive oil and butter in a baking dish. Add the remainder of the onion, thyme, bay leaf, orange peel and peppercorns. Cook 5 minutes. Add the other lobster (tails and claws) and stir. Remove from the stove and add remaining cognac.
Light the cognac with long kitchen matches and leave to burn out. Place the baking dish in the oven and cook 15 minutes or until the lobster is done. Shell, cut the meat into pieces and add to the soup.