Slice the oranges really thin, approximately 1/8 inch thick. I use a mandolin. Remove the seeds as you go.
Place the slices in a medium saucepan over medium heat.
Add the water, sugar and vanilla. If you are using a vanilla bean, cut it down the middle and remove the seeds and add just the seeds to the pot.
Bring the mixture up to a boil, then turn the heat to low.
Continue to simmer, stirring frequently, until the oranges have darkened in color and thickened to a jammy consistency.
The process can take anywhere from 30 minutes to an hour.
After about 40 minutes check the temperature with a candy thermometer, it should read 222-223 F.
Carefully transfer the marmalade to canning jars and seal with the lid and boil to process the jars.