Score the peel of each grapefruit, the orange, and the lime into four lengthwise sections; remove peels. Use a sharp knife to scrape off the white portions of peels; discard. Cut peels into thin strips and coarsely chop. In a medium saucepan combine peels, the water, and baking soda. Bring to boiling; reduce heat. Simmer, covered, 20 minutes. Do not drain.
Meanwhile, section citrus fruits, reserving juices. Add fruit and juices to peel mixture; return to boiling. Simmer, covered, 10 minutes (you should have about 3 cups fruit mixture).
Place cinnamon and cloves in the center of a double-thick piece of 100-percent-cotton cheesecloth. Gather the cloth and tie with 100-percent-cotton kitchen string. In a 6- to 8-quart heavy pot combine spice bag, fruit mixture, and the sugar. Bring to a full rolling boil, stirring constantly. Quickly stir in pectin. Return to a full rolling boil; boil hard 1 minute, stirring constantly. Remove from heat. Remove spice bag. Quickly skim off foam with a metal spoon. Stir in rum and grenadine syrup.
Ladle hot marmalade into hot, sterilized half-pint canning jars, leaving a 1/4-inch headspace. Wipe jar rims; adjust lids and screw bands.
Process filled jars in a boiling-water canner 5 minutes (start timing when water returns to boiling). Remove jars from canner; cool on wire racks. Allow to stand at room temperature 2 weeks to set.