Peel the oranges and lemons almost superficially, leaving the white part of the citrus behind.
Half the oranges and the lemons and juice them. Save the seeds and place them in a small bowl with water.
Slice the peels transversally into very thin strips about 1/8 inch wide.
Wrap the seeds in a piece of gauze and tie it up (I used a square of surgical gauze). Reserve the water.
Place the peel strips, the orange and lemon juice, the gauze with the seeds and the reserved water in a casserole or a stockpot. Add 4 cups of water. Cook for 1 hour at medium heat. Remove stockpot from the heat source and let rest for 24 hours.
The next day, remove the seeds and discard them. Place the stockpot back on the stove at medium-low heat, add the sugar and 2 cups of water and cook, stirring every 15 minutes, for 1 1/2 to 2 hours, or until the mixture thickens slightly to a consistency close to jelly (don't fret if it needs to cook longer, the important thing is it needs to reach a sirupy consistency). Remove from the heat source and let rest for about 20 minutes (the mixture will thicken further).
While the marmalade is cooking, sterilize the jars: place them in a stockpot tall enough to cover them completely with water. Boil the jars for 10 minutes. Carefully remove them from the pot and let dry. Next, immerse the lids in the water and boil for 10 minutes. Remove carefully and let dry.
Fill the jars with the marmalade and close tightly. Place the filled jars in the stockpot where you sterilized the empty jars, cover them with water, bring to a boil, lower the heat to medium-low and process for 30 minutes. Remove the stockpot from the heat source and let the jars cool down in the water until it comes down to room temperature.
Notes
This is a 2-day process, so the pectin in the seeds has time to do its magic