Wash and dry the oranges. Use a sharp vegetable peeler or paring knife, remove the brightly colored zest—and only the brightly colored zest—from the oranges. Be sure to leave behind any and all of the white pith directly underneath, it is very bitter.
Chop the resulting zest: bigger pieces for chunkier marmalade, ribbon-like strips for a more spreadable result. Set zest aside.
Cut the ends off the zested oranges and then, working with one orange at a time, cut off the thick white pith from around each orange. Working over a bowl to catch the juices, hold a fully peeled orange and use a sharp knife to cut out each section from the membrane holding the sections together. See how to section oranges for pictures if you've never done this before.
Squeeze any juice out of the membrane once you've cut out all the fruit. Set the membrane aside, along with any seeds—the pectin in these will help "set" the marmalade later.
Combine the zest, fruit, juice, 4 cups of water, and sugar in a large heavy pot and bring to a boil.
Meanwhile, lay a double layer of cheesecloth in a medium bowl and put membranes and seeds in the bowl. Lift up the corners and tie the cheesecloth into a bag to hold the membranes and seeds. Add this "pectin bag" to the pot.
While the mixture comes to a boil, put a canning kettle full of water on to boil if you're planning to can the marmalade. When canning kettle water boils, use it to boil the jars and lids for 10 minutes to sterilize them.
Then, let jars cool to room temperature before putting in a cool dry cupboard (if you've hot water processed them) or the fridge (if you didn't hot water process).
Whether or not you decide to can this marmalade, put a few small plates in the freezer to chill them. This will help with our next step.
Bring marmalade to 220 F and hold it there for 5 minutes. Be patient, this can take quite awhile.
Put a dollop of the mixture on a chilled plate, swirl the plate to spread the mixture a bit, and drag a spoon through the mixture. A "set" mixture will hold a clean track behind the spoon.
Remove pectin bag, squeezing any marmalade in it out and back into the pot before discarding the bag. Take marmalade off the heat and let sit 5 minutes. Set up clean jars next to the pot.
Stir marmalade to distribute the zest evenly in the mixture. Use a ladle to transfer the marmalade into the jars, leaving 1/2 inch of headspace at the top of each jar. Put lids on the jars.