Cut away all the skin and pith from the oranges so that you are left with a pile of skins separated from the orange flesh. Put the orange flesh, juice and pips in a food processor and blend until smooth. The seeds contains lots of natural pectin that will help set the marmalade perfectly. Push the purée through a sieve into a preserving pan or large heavy-based saucepan. Remove as much white pith from the skin as possible. Slice the skin into very thin matchstick strips and add these to the sieved flesh in the pan. Add the juice from the lemon and the water. Split the vanilla pod in half and scrape the seeds into the liquid and add the pod as well for extra flavour. Bring to the boil. Reduce the heat and simmer for 1 hour until the rind is very soft and the mixture has reduced by half. Over a low heat, add the sugar and stir until it has dissolved. Boil for about 10 minutes, skimming off any froth and impurities from the surface. After 10 minutes, spoon a little of the marmalade onto a cold plate and place in the fridge. If it sets to a jelly the marmalade is cooked. If not, cook for a further 5-10 minutes and test again. Allow the marmalade to cool slightly, and then pour into the hot sterilized jars.