Wash and scrub the oranges and lemons. Cut the fruit in half and squeeze out the juice. Remove the pips and membrane and tie in a muslin bag.
Cut the peel into thin shreds (or course ones if preferred) and then place in a large preserving pan, with the juice, and the bag of pips and the water.
Bring to a boil and simmer gently, uncovered, for about 2 hours, until the contents of the pan are reduced by about half and the peel is soft and tender.
Remove the muslin bag and squeeze the bag hard and carefully, to remove all the gooey liquid; this contains the pectin which is so important for a good set.
Add the sugar and stir until completely dissolved. Bring to a boil and boil rapidly until setting point is reached.
Remove any scum from the surface. Cool for 5-10 minutes.
Stir well to distribute the peel. Pour into cooled, sterilized jars and seal. Label and store.