Prepare jam jars and sterilize them with hot water. You need to "cook" the jars in boiling water, then let them dry without touching the inside with anything.
Use a vegetable peeler to remove the colored part of the peel from both oranges and lemons and cut them into thin strips. Combine the peels and water in a saucepan and bring to a boil over high heat. Once the water starts boiling, reduce the heat and simmer for about 20 minutes as you stir occasionally.
Meanwhile, juice the fruits and reserve the pulp. Add these to the saucepan, cover, and continue simmering for 10 more minutes.
Turn the heat to very low and add the sugar to the mixture. Cook the orange mixture for 10 more minutes, stirring it from time to time to avoid burning.
Pour the marmalade into your jars as full as you can and screw tightly.
Turn the jars up side down to the tops and cover with warm blanket all around. Let them cool down in the blankets.