You definitely don't have to take the fruit out of the membrane, and can simply peel the oranges and grapefruit, cut them up and use them in the salad as is. However, there is something SO marvelous about biting into the juicy morsels with no membrane in the way. It really blows my hair back and makes my mouth feel free and unrestrained. Besides, the membrane in the grapefruit is simply awful, in my opinion. I can't eat grapefruit with the membrane at all. It's way too bitter.
I like to segment a whole bunch of oranges or grapefruit, store them in the refrigerator and we have a snack ready to go all week.