Scrub oranges and lemons; dry well. Cut lengthwise (don't peel), then into thin half-moon slices. (Discard any seeds.) Place sliced fruit and any juices into a large soup pot. Add water and bring mixture to a boil, stirring often. Remove from heat and stir in sugar until it dissolves. Cool to room temperature; then cover and let stand overnight (8-10 hours).
The next day, bring mixture to a boil over high heat. Then reduce heat to low and simmer uncovered about 2 hours. Raise heat to a gentle boil, stirring often, another 30 minutes. Cook until marmalade reaches 220°F on a candy thermometer. Skim off any foam. Pour marmalade into hot, sterilized 8-ounce glass canning jars (leaving headspace). Seal and process in boiling water 15 minutes. Store in your pantry for up to a year.