What does it mean when someone says yarn is big on an orioles shopping list when nest building?

Orioles do not actually shop, or have shopping lists, since they are birds, not people (not counting the Orioles Baseball team, of course). Metaphorically, what this means is that Orioles like to use yarn in their nests, and they tend to look for it and scavenge it when they can. Yarn is good for nests.