Carefully remove rind from fruit using a vegetable peeler; discard white pith. Cut rind from 1 orange, 1 grapefruit, and lemon into 1 x 1/4-inch strips. Section fruit; cut into 1-inch pieces. Discard seeds; reserve juice.
Combine all ingredients in a large saucepan; bring to a boil. Reduce heat, and simmer 1 hour or until thick, stirring occasionally. Cool. Pour into airtight containers.
Note: Store marmalade in the refrigerator for up to three weeks.