Wash the grapefruits and lemons thoroughly. Cut off the ends of the grapefruits and lemons. Cut them in half crosswise.
Scoop out the pulp from the grapefruits and lemons and place it in a large bowl. Reserve the peels.
Scrape out the white pith from the peels and discard it. Slice the peels thinly.
Add the sliced peels and the reserved pulp (including seeds, which help with setting) to a large, heavy-bottomed saucepan.
Add the water and bring to a boil over medium-high heat. Reduce heat to low, cover, and simmer for 2 hours, or until the peels are tender.
Remove the seeds from the pulp mixture by straining it through a cheesecloth-lined sieve into a separate bowl. Discard the seeds.
Add the sugar to the saucepan with the tender peels and simmered liquid. Stir over medium heat until the sugar is completely dissolved.
Increase the heat to high and bring the mixture to a rolling boil. Cook, stirring occasionally, for about 15-30 minutes, or until the marmalade reaches the setting point. To test, place a small amount on a chilled plate. If it wrinkles when pushed, it's ready.
Remove from heat. Skim off any foam from the surface.
Ladle the hot marmalade into sterilized jars, leaving about 0.5 inch of headspace. Seal tightly.
Let the jars cool completely at room temperature, then store in the refrigerator.
Notes
This marmalade can be stored in the refrigerator for up to 3 months. For longer storage, consider water bath canning.