Travel from Paris airport.

The DB train schedule search suggests that 3-5 connections will be required, always going into Paris and getting to Station/Gare de Lyon. How to Look Up Train Schedules and Routes Online gives you the DB train schedule link and tips for using it. Instead of taking the RER into Paris from the airport, you can take the "Les Cars" Air France bus #4 direct to Gare de Lyon, then trains from there toward either Dijon or Montbard.

Given the amount of travel time, will you plan to spend the night in Paris before your flight from Orly?

I used rome2rio.com and it seems pretty complicated to make connections using public transportation, since the routes all seem to include at least one leg that operates only once a day. Unless you rent a car at De Gaulle and return it at Orly, it would seem your options must include a one-night stay somewhere in-between both on arrival and on departure.

Your problem is the last leg into Saulieu. There's a bus once a day from Dijon or a bus twice a week from the other two railroad towns, both on slow local train lines. Just to get to the other two towns you need to take slow, local trains that don't run often. Check it on rome2rio.com as Chani and I did.

You could take a TGV to Dijon and rent a car at the train station for the drive to Saulieu, or rent a car at CDG. You could then drop the car at Orly, or if you drop it at Dijon, you'd have to to back track out to Orly from the Gare de Lyon (or Gare de Bercy if you take a local train). On the other hand, you practically drive past Orly on your way back to Paris.

If your destination is La Cote d'Or restaurant/hotel, I'm sure they can help you with the transportation. They have people flying there from all over the world.