Remove peel from white part of lemons and orange in long strips with sharp paring knife, making sure there is no white on the peel. Stack strips; cut into thin slivers. Combine lemon and orange peels, water and baking soda in 2-quart saucepan. Bring to a boil over high heat. Reduce heat to low; cover and simmer 20 minutes, stirring occasionally.
Meanwhile, peel grapefruit. Remove white pith from grapefruit, lemons and orange; discard peel and pith. Separate fruit into sections. With fingers, remove pulp from membrane of each section over large saucepan to save juice. Dice fruit sections into same saucepan. Bring to a boil. Cover and simmer 10 minutes. Measure 5 cups fruit mixture into 6-quart saucepan or Dutch oven.
Wash jars, lids and bands. Leave jars in hot water. Place lids and bands in large pan of water. Mix pectin into fruit mixture. Bring to a rolling boil over medium-high heat, stirring constantly. Immediately stir in sugar. Bring to a rolling boil and boil 1 minute, stirring constantly. Remove from heat; skim off foam with metal spoon.
Bring water with lids and bands to a boil. Ladle hot mixture into hot jars leaving 1/2-inch space at top. Run metal spatula around inside of jar to remove air bubbles. Wipe tops and sides of jar rims clean. Place hot lids and bands on jar. Screw bands tightly, but do not force. To process, place jars in boiling water; boil 10 minutes. Remove jars with tongs; cool on wire racks. (Check seals by pressing on lid with fingertip; lid should remain concave.) Label and date jars.* Store unopened jars in a cool, dry place up to 12 months. Refrigerate after opening up to 6 months.
*Marmalade sets slowly. Store in a cool, dry place 2 weeks before serving.