You can set an alarm from within the Steps app. If an alarm is active, you will see the alarm icon in the top right corner on your Orbit.
The alarm will make the Orbit vibrate ten times in a row in order to wake you up. If you do not press the Orbit button while this is happening, the alarm will begin vibrating again 5 minutes later. This cycle happens up to 5 times if the button isn't pressed. In order to switch off the alarm, simply press the Orbit button twice.