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1. Score orange and lemon peels into 4 lengthwise sections; remove the peels with your fingers. Scrape off bitter white portions and discard; cut peels into thin strips. In a large saucepan, bring peels, water, and baking soda to boiling; reduce heat. Simmer, covered, for 20 minutes. Do not drain. Section fruits, reserving juices; discard seeds. Add fruits and juices to peels. Return to boiling; reduce heat. Simmer, covered, for 10 minutes (should have about 3 cups mixture).
2. In an 8- to 10-quart heavy pot, combine fruit mixture and sugar. Bring to a full rolling boil, stirring constantly. Quickly stir in pectin. Return to a full rolling boil; boil for 1 minute, stirring constantly. Remove from heat; skim off foam with a metal spoon.
3. Ladle into hot, sterilized half-pint canning jars, leaving 1/4-inch headspace. Wipe jar rims; adjust lids. Process in a boiling-water canner for 5 minutes (start timing when water returns to boil). Remove jars; cool on racks. Allow the marmalade to set for 2 weeks before serving.