Cut the oranges and lemons in half and juice them over a mesh sieve.
Scrape the pulp and membranes out of the oranges and lemons and put the solids into a 6 inch square of cheesecloth. Tie the cheesecloth closed with twine.
Slice the orange and lemon peels into very thin pieces, about ⅛ of an inch wide and an inch long.
Over medium heat in a medium saucepan, combine the juice, water and peels and cheesecloth. Simmer covered until the peels are soft, at least an hour and a half. Stir every 20 minutes.
Remove the cheesecloth, squeeze out any liquid and discard the cheesecloth.
Add the honey to the remaining liquids and peels and bring to a boil. Allow the mixture to boil (but watch it to keep it from boiling over) until the marmalade thickens, about 20 minutes.
Pour into three jars and let cool before sealing the jars. Keep refrigerated.